Expectations Hypotheses Tests / Discussion  

Oleh:

Bekaert, Geert ; Hodrick, Robert J. ; Richardson, Matthew

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 4 (2001), page 1357-1399.
Topik: hypotheses; studies; expectations; hypotheses; interest rates; foreign exchange markets; models
Fulltext: p 1357.pdf (182.06KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The expectations hypotheses of the term structure of interest rates and of the foreign exchange market are investigated using vector autoregressive methods for US dollar, Deutsch mark, and British pound interest rates and exchange rates. Walk, Lagrange multiplier, and distance metrics tests are examined by iterating on approximate solutions that require only matrix inversions. Bias-corrected, constrained VARs provide Monte Carlo simulations. Wald tests grossly overreacts the null, Lagrange multiplier tests slightly underreject, and distance metric tests overreject. A common interpretation emerges from the small sample statistics. The evidence against the expectations hypotheses is much less strong than under asymptotic inference.

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