Around and Around: The Expectations Hypothesis  

Oleh:

Fisher, Mark

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 1 (Feb. 1998), page 365-383.
Topik: Hypothesis; the structure of interest rates; Markovian electroclash dimensional; non-Gaussian
Fulltext: p 365.pdf (108.61KB)

Isi artikel

We show how to construct models of the term structure of interest rates in which the expectations hypothesis holds. McCulloch (1993) presents such a model, thereby contradicting an assertion by Cox, Ingersoll, and Ross (1981), but his example is Gaussian and falls outside the class of finite-dimensional Markovian models.We generalize McCulloch’s model in three ways: (i) We provide an arbitrage-free characterization of the unbiased expectations hypothesis in terms of forward rates; (ii) we extend this characterization to a whole class of expectations hypotheses; and (iii) we show how to construct finite-dimensional Markovian and non-Gaussian examples.

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