Download or read book The Expectations Theory of Term Structure written by Johura Begum and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Yield curve is very prominent in the economics and finance literature to analyze the behavior of households and investors towards bonds markets. In this paper we explore and test the Expectations Hypothesis (EH) of the term structure for a number of international bond markets. We use data at the short and long end maturities for the Treasury bill rate and the Government of Canada bond rate. The sample includes monthly yields for maturities ranging from 1, 3, 5-month treasury bills and 1, 5, 10 and more years for Government of Canada bonds, USA bonds, UK bonds and France bonds. We use the Engle-Granger cointegration test and OLS to estimate the spread between short and long term interest rates, including tests for serial correlation in residuals, and to test the validity of the EH. The EH is rejected in all cases.
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Expectations Theory for Term Structure of Interest Rates written by Erdenebat Bataa and published by . This book was released on 2006 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel and published by Princeton University Press. This book was released on 2015-12-08 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Download or read book Analysis of the Term Structure of Interest Rates the Expectations Theory written by Jing Chen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth A. Froot and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
Download or read book The Expectations Theory of the Term Structure of Interest Rates and Monetary Policy written by María Isabel Martínez Serna and published by . This book was released on 2000 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disparate evidence obtained by the empirical literature of the expectations theory of the term structure of interest rates has been interpreted in different ways. One explanation stems from the findings of Mankiw and Miron (1986) who observed that the term spread in the U.S. had substantial predictive power in line with the expectations theory before the founding of the Federal Reserve in 1914. Afterwards, the Fed's commitment to stabilising interest rates caused changes in short rates to become unpredictable on the basis of the spread. Consequently, these authors argue that monetary policy regime, and the extent to which it involves smoothing interest rates, determines the performance of the expectations theory.The argument of Mankiw and Miron has been extended and formalised by McCallum (1994), who develops a model of the interaction between the expectations theory, a time-varying autoregressive term premium, and an interest rate smoothing monetary policy combined with the use of the spread as an indicator. Kugler (1994) and Boero and Torricelli (1998) derive an exact solution to the McCallum model. Nevertheless, both of them limit their theoretical contribution to the case of one-period short rate. These two articles, together with Hsu and Kugler (1997), constitute the empirical applications of the model. All three conclude that the model is able to explain the results from standard tests of the expectations theory. The present research is intended to complete the existing theoretical and empirical literature about the McCallum model. Thus, we derive a generalisation of the exact solution of the model for any pair of maturities and, on the basis of the derived solution, we test the McCallum model for a wider range of maturities (all the above cited studies only use 1-month and 3-month interest rates) and for the Spanish term structure, to which the model has not yet been applied.
Download or read book New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by . This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Download or read book The Term Structure of Interest Rates written by Petra Kühl and published by . This book was released on 1986 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investing in Mortgage Backed and Asset Backed Securities written by Glenn M. Schultz and published by John Wiley & Sons. This book was released on 2016-01-19 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.
Download or read book The Expectations Theory in the Money Market written by Ludwig B. Chincarini and published by . This book was released on 2006 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the most popular theories of the term structure of interest rates is the pure expectations theory. In its purest form it postulates that long term interest rates are a reflection of the market's perception of future short term rates. Almost all of the tests of the pure form of this theory with financial markets of various countries have resulted in a rejection of the theory. A standard approach of most of the literature is to linearize the equations associated with the theory and then estimate a linear regression to determine if the spread is indeed a predictor of future short rates. While this approximation is valid for testing the expectations hypothesis when the spread is between long and short duration instruments, researchers should be careful applying this technique to money market spreads. In particular, this approximation will not be valid for very flat term structures, which is usually the case for bills with less than twelve months to maturity. This paper uses simulations to show how erroneous conclusions can be drawn by using this approximation in the money market and re-examines the pure expectations theory for the money markets of various countries using the DOLS approach to estimating series that are cointegrated. The conclusions are different from other studies on this subject and are particularily supportive of the expectation's hypothesis. In fact, while the theory is sometimes rejected (accepted) when using approximations, it is accepted (rejected) using the exact formulas.
Download or read book Expectations Theory of the Term Structure of Interest Rates and the Demand for Government of Canada Guaranteed Marketable Bonds by Five Investor Categories written by Edward S. Y. Vun and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expectations Uncertainty and the Term Structure of Interest Rates written by J. C. Dodds and published by . This book was released on 1974 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Expectations Theory of the Term Structure written by R. J. Mandeno and published by . This book was released on 1993 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expectations Theory of the Term Structure of Interest Rates and the Demand for Government of Canada Guaranteed Marketable Bonds by Five Investor Categories written by Edward S. Y. Vun and published by . This book was released on 1983 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates written by R. S. Masera and published by . This book was released on 1972 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
