Survey data on interest rate expectations permit separate testing of the two alternative
hypotheses in traditional term structure tests: that the expectations hypothesis fails, and that …

Contrary to the predictions of the rational expectations hypothesis of the term structure of
interest rates, empirical evidence suggests that the term spread between long and short …

We reexamine the expectations theory of the term structure using data at the short end of the
maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915 …

The term structure of interest rates is an old topic. Over the years, both the hypotheses
debated and the research techniques used have changed considerably. Two fairly recent …

This paper examines postwar US term structure data and finds that for almost any
combination of maturities between one month and ten years, a high yield spread between a …

Recent empirical research on the term structure of interest rates has shown that the long-
term interest rate is well described by adistributed lag on short-term interest rates, but does …

This paper presents a regression approach to measuring the information in forward interest
rates about time varying premiums and future spot interest rates. Like earlier work, the …

Expectations theories of asset returns may be interpreted either as stating that risk premia
are zero or that they are constant through time. Under the former interpretation, different …

ABSTRACT I use weekly Treasury‐bill rates with maturities of one to twenty‐six weeks to
examine the information in forward rates during the 1970s and 1980s. Forward rates contain …

attempts to explain yield-maturity relationships on loans differing only in length of time to
maturity, known as the term structure of interest rates, considerable difficulty has been …