• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文学位 >Role of time movement of short-term interest rate on the inference about the expectations hypothesis of the term structure.
【24h】

Role of time movement of short-term interest rate on the inference about the expectations hypothesis of the term structure.

机译：短期利率的时间变动对期限结构的预期假设的推断作用。

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Three paradoxes have arisen from empirical tests of the expectations hypothesis of the term structure of interest rates [EHTS]. One paradox is that different tests yield different inferences. Another paradox is that tests of the EHTS using different lengths of maturity for the long-term instrument provide contradictory conclusions. The fact that different data produce different inferences about the expectations hypothesis represents a third paradox. Several explanations for the existence of these paradoxes have been offered. It is possible that the specifications of EHTS-implied relationships relating the changes in the interest rates with the spread between the short-term and long-term interest rates are at fault. Another possibility is that the econometrics used to test for specified relationships derived from EHTS is incorrect. A third possibility is that the path of the short-term interest rate has been modeled incorrectly. It is the third possibility that serves as the focus of this dissertation.; Inferences about EHTS under various data-generating processes for the short-term interest rate are examined. Tests of EHTS are conducted with two conventional specifications of the relationships relating changes in interest rates to the spread. Because standard hypothesis tests based on the t-distribution may be invalid in the presence of serial correlation in the data, critical values employed in testing EHTS are obtained via Monte Carlo simulation. It is found that the inference about EHTS is dependent upon the model of the time path of the short-term interest rate. Under some models, EHTS cannot be rejected for any length of maturity of the long-term instrument for any data set tested for either test employed. Under other models, EHTS is rejected under some conditions and not rejected under others. A contribution of this dissertation is the discovery of possible explanations as to why no final conclusion has yet been reached regarding EHTS.
机译：利率期限结构[EHTS]的预期假设的经验检验产生了三个悖论。一个悖论是，不同的测试得出不同的推论。另一个悖论是，对于长期票据，使用不同期限的期限进行的EHTS测试提供了矛盾的结论。不同数据对期望假设产生不同推论的事实代表了第三个悖论。对于这些悖论的存在，已经提供了几种解释。 EHTS隐含关系的规范可能将利率的变化与短期和长期利率之间的利差相关联。另一种可能性是，用于测试从EHTS导出的特定关系的计量经济学是不正确的。第三种可能性是短期利率的路径建模不正确。这是本文研究的第三种可能性。考察了有关短期利率在各种数据生成过程下的EHTS的推论。 EHTS的测试是使用两个常规规范来进行的，这些规范将利率的变化与点差相关联。由于在数据中存在序列相关性时，基于t分布的标准假设检验可能无效，因此通过蒙特卡洛模拟获得用于测试EHTS的临界值。发现关于EHTS的推论取决于短期利率时间路径的模型。在某些模型中，对于采用任何一种测试方法测试的任何数据集，对于长期仪器的任何期限都不能拒绝EHTS。在其他模型下，EHTS在某些情况下会被拒绝，而在其他情况下不会被拒绝。本文的一个贡献是发现了关于为何尚未就EHTS得出最终结论的可能解释的发现。

著录项

  • 作者

    Shambora, William Edward.;

  • 作者单位

    University of Kentucky.;

  • 授予单位 University of Kentucky.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2000
  • 页码 127 p.
  • 总页数 127
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号