Predictions of short-term rates and the expectations hypothesis
This paper emphasizes that traditional tests of the EH are based on two assumptions: the expectations hypothesis (EH) per se and an assumption about the expectations generating process (EGP) for the short-term rate. Arguing that conventional tests of the EH need to assume EGPs that may be significan...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier B.V.
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |