The expectations model of the term structure states that the yields to maturity of long-term
bonds are equal to the average of expected future short-term bond yields. This venerable …

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 how well a New Keynesian business cycle model can explain the observed
behavior of nominal interest rates. We focus on two puzzles raised in previous literature …

Although the expectations theory is the dominant model of long-term interest rate
determination, empirical studies often reject its implications. Taking the theory as a …

Despite its role in monetary policy and finance, the expectations hypothesis (EH) of the term
structure of interest rates has received virtually no empirical support. The empirical failure of …

This paper models the evolution of monetary policy, the term structure of interest rates and
the UK economy across policy regimes. We model the interaction between the …

This article outlines a panel data approach to modelling the term structure of interest rates in
the short and in the long run. We find robust evidence supporting the expectations …

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using
new data for Germany. The German term structure appears to forecast future short-term …

Despite its important role in monetary policy and finance, the expectations hypothesis (EH)
of the term structure of interest rates has received virtually no empirical support. The …

This paper addresses a prominent empirical failure of the expectations theory of the term
structure of interest rates under the assumption of rational expectations. This failure …