English, Article, Journal or magazine article edition: Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK Christian Mose Nielsen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/34443
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK
Author
  • Christian Mose Nielsen
Physical Description
  • preprint
Notes
  • Using UK data for the period 1997:3 to 2005:5, this paper examines whether the expectations hypothesis is supported by recent UK data when the short-end of the term structure of interest rates is considered and whether the results of the tests of the expectations hypothesis are sensitive to the choice of data. The main results can be nicely summarized by considering five virtual researchers who test the expectations hypothesis using five different data sets for the 1997:3 to 2005:5 period for the 1 to 12-month maturity spectrum and who get quite different results. The main conclusion to be drawn from the analysis in this paper is thus that robustness check may be very important when testing the expectations hypothesis using the 1 to 12-month maturity spectrum of the term structure. Furthermore, the results suggest that the specific data set used in tests of the expectations hypothesis may be a candidate explanation of a rejection of the expectations hypothesis - along with the possibility that a time-varying term premium and/​or a structural break are responsible for the rejection
  • Expectations hypothesis
  • RePEc:mmf:mmfc06:132
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment