Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
By: by Daniel L. Thornton.
Contributors: Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2004-010A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2004-010A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2004
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Interest rates -- Econometric models.; Rational expectations (Economic theory) -- Econometric models.
Description: "Despite its important role in macroeconomics and finance, the expectations hypothesis (EH) of the term structure of interest rates has received little empirical support.  While the EH's poor performance has been attributed to a variety of sources, none appear to account for the EH's poor performance.  Recent evidence (Diebold and Li, 2003; Duffee, 2002; and Carriero, et al., 2003) suggests the possibility that the EH's poor performance may be due to market participants' relative inability to forecast the short-term rate.  This possibility is investigate by comparing h-month ahead forecasts for the 1-month Treasury yield implied by the EH with the forecasts from both random-walk model and a three factor model of the term structure"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.