The Expectations Hypothesis, Term Premia, and the Canadian Term Structure of Interest Rates

Posted: 7 Sep 2000

See all articles by Walid Hejazi

Walid Hejazi

University of Toronto - Rotman School of Management

Huiwen Lai

SAS Institute Inc.

Xian Yang

University of Toronto - Department of Economics

Abstract

In this paper monthly data are used over the period 1960:7 to 1995:12 to examine the determinants of term premia implicit in the Canadian T-bill term structure of interest rates. In sharp contrast to U.S. evidence, the conditional variances of Canadian macroeconomic variables are found to be insignificant predictors of term premia in the Canadian T-bill term structure. The conditional variances of U.S. macroeconomic variables, however, are found to be important determinants of Canadian term premia.

JEL Classification: E43, G1

Suggested Citation

Hejazi, Walid and Lai, Huiwen and Yang, Xian, The Expectations Hypothesis, Term Premia, and the Canadian Term Structure of Interest Rates. Canadian Journal of Economics, Vol. 33, Issue 1, February 2000. Available at SSRN: https://ssrn.com/abstract=238652

Walid Hejazi (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
(416) 287-7318 (Phone)

Huiwen Lai

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Xian Yang

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S 3G7
Canada

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