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Author: | Gerlach, S. Smets, F. |
Title: | The term structure of Euro-rates: some evidence in support of the expectations hypothesis |
Journal: | Journal of International Money and Finance
1997 : APR, VOL. 16:2, p. 305-322 |
Index terms: | FINANCE MONEY ECONOMICS |
Language: | eng |
Abstract: | This paper studies 1-, 3-, 6- and 12-month Euro-rates for 17 countries using between 10 and 30 years of data. Term spreads contain information about future short-term rates in all 51 regressions that the authors estimate. Moreover, in 35 cases they are unable to reject the expectations hypothesis. Using cross-sectional regressions, the authors estimate the variance of the term premium and the correlation of the term premium and the expected change in short rates. |
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