全球智库信息集成服务系统(G2TT): DP2375 The Term Structure of Interest Rates and Inflation Forecast Targeting

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP2375
	DP2375 The Term Structure of Interest Rates and Inflation Forecast Targeting
	Eric Schaling; Sylvester Eijffinger; Willem Verhagen
发表日期	2000-02-29
出版年	2000
语种	英语
摘要	This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model that implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series approach. In addition, small sample bias is alleviated and statistical efficiency improved. Our results allow for interesting inferences about maturity-specific effects in the term structure. First, the expectations hypothesis is soundly rejected for our full data panel of U.S. Treasury securities. Second, a considerable degree of mean reversion is present in the risk premia. Third, our findings shed new light on the magnitude of the slope coefficient in regressions of the yield onto the forward curve.
主题	Financial Economics
关键词	Expectations hypothesis risk premium
URL	https://cepr.org/publications/dp2375
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/531464
推荐引用方式 GB/T 7714	Eric Schaling,Sylvester Eijffinger,Willem Verhagen. DP2375 The Term Structure of Interest Rates and Inflation Forecast Targeting. 2000.