Show simple item record

dc.contributor.authorDonnelly, Andrew P.en
dc.date.accessioned2010-04-08T04:14:25Z
dc.date.issued1998en
dc.identifier.urihttps://hdl.handle.net/10182/1610
dc.description.abstractThis paper attempts to account for the empirical failure of the expectations theory of the term structure when it is tested using a variety of methods based on single-equation and vector autoregressive (VAR) models. It is argued that the failure of the spread to forecast future short-term rate changes is due to the omission from the regression of a time-varying term premium that is correlated with the spread. The inclusion of a white-noise error term in spread regressions is thought to take account of any random components in the term premium, and thus enable better judgement to be made about the expectations hypothesis of the term structure. This investigation finds there is strong empirical support for the long-run implications of the expectations theory. However, the empirical evidence does not support the short-run predictions of the expectations theory when these predictions are tested by imposing restrictions on the parameters of single-equation and VAR models. These results are inconsistent with the view that the inclusion of a white-noise error term in spread regressions is enough to reconcile the expectations theory with the data.en
dc.language.isoenen
dc.publisherLincoln Universityen
dc.subjectexpectations theoryen
dc.subjectterm structure of interest ratesen
dc.subjecteconometric tests of rationalityen
dc.subjectterm premiumen
dc.titleEconometric tests of the expectations theory of the term structure in New Zealanden
dc.typeThesis
thesis.degree.grantorLincoln Universityen
thesis.degree.levelMastersen
thesis.degree.nameMaster of Commerce and Managementen
dc.subject.marsdenFields of Research::340000 Economics::340400 Econometrics::340402 Econometric and statistical methodsen
dc.subject.marsdenFields of Research::340000 Economics::340400 Econometrics::340401 Economic models and forecastingen
lu.contributor.unitLincoln Universityen
dc.rights.accessRightsDigital thesis can be viewed by current staff and students of Lincoln University only. Print copy available for reading in Lincoln University Library. May be available through inter-library loan.en
pubs.organisational-group/LU
pubs.publication-statusPublisheden


Files in this item

Default Thumbnail

This item appears in the following Collection(s)

Show simple item record