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Title of article :
Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
Author/Authors :
Carriero، نويسنده , , Andrea and Favero، نويسنده , , Carlo A. and Kaminska، نويسنده , , Iryna، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2006
Pages :
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Abstract :
In this paper we develop on the VAR framework, originally proposed by Campbell and Shiller (J. Political Econom 95 (1987) 1062) to evaluate the Expectations Theory, along three dimensions: the use of a testing method based on a real-time procedure, the measurement of the risk premium, the specification of the implicit monetary policy makerʹs reaction function. We use financial factors and macroeconomic information to construct a test of the theory based on simulating investors’ effort to use the model in ‘real-time’ to forecast future monetary policy rates. The application of our approach to a monthly sample of US data from the eighties onward leads us to conclude that the deviation from the ET are very rarely significant and that fluctuations of risk premia are not large.
Keywords :
Expectations theory , Macroeconomic information in finance
Journal title :
Journal of Econometrics
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Link To Document :