| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2879
|
| DP2879 The Union Membership Wage Premium Puzzle: Is There A Free-Rider Problem? |
| Alison Booth; Mark L Bryan
|
| 发表日期 | 2001-07-06
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | The expectations model of the term structure states that the yields to maturity of long-term bonds are equal to the average of expected future short-term bond yields. This venerable model has been subjected to numerous empirical tests and almost invariably rejected. The empirical failure is generally attributed either to systematic expectations errors, or to shifts in the risk premia. In fact, the empirical tests, based on the estimation of single-equation models, are not able to discriminate between these two hypotheses. A recent strand of the macro-economic literature has analysed monetary policy by including the central bank reaction function is small empirical macro models. By simulating these models forward it is possible to derive the full forward path of short-term interest rates and hence to construct any long-term interest rate consistent with the expectations model. A direct test of the theory, based on full information, can then be immediately constructed by comparing observed long-term rates with the simulated ones and the associated 95% confidence interval. This is what we do in this Paper. Our results shed new light on the empirical validity of the expectations model. |
| 主题 | International Macroeconomics
|
| 关键词 | Small macro-models
Term structure of interest rates
Expectations model
|
| URL | https://cepr.org/publications/dp2879
|
| 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/531919
|
推荐引用方式
GB/T 7714 |
Alison Booth,Mark L Bryan. DP2879 The Union Membership Wage Premium Puzzle: Is There A Free-Rider Problem?. 2001.
|
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