| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5244 |
| DP5244 Peer Effects and Social Networks in Education and Crime | |
| Yves Zenou; Antoni Calvó-Armengol; Eleonora Patacchini | |
| 发表日期 | 2005-09-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper tests the expectations hypothesis (EH) using US monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from 1 month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power: (a) by introducing economic variables as conditioning information; and (b) by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While the conventional bivariate procedure provides mixed results, the more powerful testing procedures suggest rejection of the EH throughout the maturity spectrum examined. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Expectations hypothesis Term structure of interest rates Vector autoregression |
| URL | https://cepr.org/publications/dp5244 |
| 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/534116 |
| 推荐引用方式 GB/T 7714 | Yves Zenou,Antoni Calvó-Armengol,Eleonora Patacchini. DP5244 Peer Effects and Social Networks in Education and Crime. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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