Abstract

http://ssrn.com/abstract=1734758
 
 

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The Expectations Hypothesis of the Term Structure: Tests on US, German, French, and UK Euro-Rates


Eric Jondeau


University of Lausanne; Swiss Finance Institute

Roland Ricart


Banque de France

June 1, 1996

Banque de France Working Paper No. 35

Abstract:     
This paper deals with tests of the expectations hypothesis of the term structure on French, German, UK and US short-term interest rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the puzzle highlighted by Campbell and Shiller (1991) for US data does not hold in the cases of French and UK short-term rates. Second, we propose tests for the expectations hypothesis based on error-correction specifications. These tests are shown to be much more favorable for the theory and the initial puzzle disappears.

Number of Pages in PDF File: 34

Keywords: Term structure of interest rates, Expectations hypothesis, Error-correction model

JEL Classification: E43

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Date posted: January 7, 2011  

Suggested Citation

Jondeau, Eric and Ricart, Roland, The Expectations Hypothesis of the Term Structure: Tests on US, German, French, and UK Euro-Rates (June 1, 1996). Banque de France Working Paper No. 35. Available at SSRN: http://ssrn.com/abstract=1734758 or http://dx.doi.org/10.2139/ssrn.1734758

Contact Information

Eric Jondeau (Contact Author)
University of Lausanne ( email )
Faculty of Business and Economics (HEC Lausanne)
Extranef 232
1012 Lausanne
Switzerland
+41 21 692 33 49 (Phone)
HOME PAGE: http://www.hec.unil.ch/ejondeau/
Swiss Finance Institute ( email )
40, Boulevard du Pont-d'Arve
Case Postale 3
1211 Geneva 4, CH-6900
Switzerland
+41 21 692 33 49 (Phone)
Roland Ricart
Banque de France ( email )
Paris
France
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