The expectations hypothesis for the longer end of the term structure : some evidence for Canada / by Ron Lange. : FB3-2/99-20E
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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| 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 | Working paper1192-543499-20 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[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. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1999. |
| Reliure | Softcover |
| Description | v, 27p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-28413-5 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Interest rates |
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