Testable implications of affine term structure models
By: James D. Hamilton, Jing Cynthia Wu
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 16931; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16931.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Affine term structure models have been used to address a wide range of questions in macroeconomics and finance.  This paper investigates a number of their testable implications which have not previously been explored.  We show that the assumption that certain specified yields are priced without error is testable, and find that the implied measurement or specification error exhibits serial correlation in all of the possible formulations investigated here.  We further find that the predictions of these models for the average levels of different interest rates are inconsistent with the observed data, and propose a more general specification that is not rejected by the data"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2011.

Includes bibliographical references.

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