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| Author: | Lanne, M. |
| Title: | Near unit roots and the predictive power of yield spreads for changes in long-term interest rates |
| Journal: | Review of Economics and Statistics
1999 : AUG, VOL. 81:3, p. 393-398 |
| Index terms: | ECONOMICS INTEREST RATES |
| Language: | eng |
| Abstract: | The ability of yield spreads to predict changes in long-term interest rates implied by the expectations hypothesis is usually rejected. This rejection could be caused by high persistence in the spread when standard inference is employed. Instead, the asymptotically valid method of Cavanagh is applied to monthly US data: the persistence of the spreads seems to have varied over time and in subsample analysis the expectations hypothesis cannot be rejected at the long end of the maturity spectrum. |
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