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 …

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 …

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 …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

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 …

Can expectations alone explain the yield differentials among bonds of different maturities?
To what extend do attitudes toward risk and transactions costs influence the behavior of …

The term structure of interest rates is an important subject to economists, and has a long
history of traditions. This paper re‐examines many of these traditional hypotheses while …

This paper provides an overview of the analysis of the term structure of interest rates with a
special emphasis on recent developments at the intersection of macroeconomics and …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

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 …