In this paper I examine the time‐varying expected term premium argument for the failure of
the expectations hypothesis of the term structure of US interest rates. Using an unobserved …

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 …

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 …

Abstract My thesis, entitled Are Term Premia Stationary?, consists of three essays that
analyze the statistical properties of the term structure of interest rates. The first essay is a …

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 …

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 …

There are few relationships in economics and finance that have been studied as often and
with such variety of techniques as the term structure of interest rates. Yet, while a host of …

Forward rates in the term structure of interest contain predictions of future spot rates plus
(possibly) term premia. Realized spot rates contain predicted spot rates plus forecast errors …

The expectations theory of the term structure of interest rates supplemented by the rational
expectations and time-invariant risk premium assumption implies that the spread between …

This article is concerned with testing a model of the term structure of interest rates. The
model relates the term premiums embodied in forward rates to the level of interest rates and …