TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
复制标题
检验阈值模型中利率期限结构的预期理论
DOI：
10.1017/s1365100502020163
复制
发表时间：
2003
影响因子：
0.9
通讯作者：
A. Galvão
中科院分区：
文献类型：
--
作者：
Michael P. Clements;A. Galvão
我们在非线性系统中测试美国利率期限结构的预期理论。这些模型允许短期利率变化对利差过去值的响应取决于利差水平。将非线性系统与线性系统进行测试，并对比两个模型中的期望理论的测试结果。我们发现，预期理论含义的检验结果取决于价差的大小和符号。长期利差只有在较高时才能预测短期利率的未来变化。
We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.