The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. : FB3-2/99-20E-PDF
This paper assesses the expectations theory for Canada using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis, (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis.--Introduction
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publications.gc.ca/pub?id=9.571704&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. |
| Titre de la série | Bank of Canada working paper1701-939799-20 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| Note(s) | "This paper assesses the expectations theory for Canada using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis, (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis."--Introduction. The catalogue number (FB3-2/99-20E) and ISBN (0-662-28413-5) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada December 1999. |
| Description | 36p.graphs, references, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
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| Descripteurs | Interest rates |
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