On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
收藏NBER1996-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0191
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资源简介：
We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions for
提供机构：
美国国家经济研究局
创建时间：
1996-01-01
