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| Author: | Fischer, A. |
| Title: | Interpreting the term structure of interest rates using weekly money announcements |
| Journal: | Schweizerische Zeitschrift für Volkswirtschaft und Statistik
1989 : VOL. 125:1, p. 43-54 |
| Index terms: | TERM STRUCTURE OF INTEREST RATES MONEY SUPPLY TIME SERIES |
| Language: | eng |
| Abstract: | A volatility test is proposed using the assumption that interest rates react to weekly money announcements. The test avoids the problem of overlapping expectations without having to discard observations from the sample. The test examines and rejects the joint assumption of the existence of an announcement effect and rational expectations of the term structure. |
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