G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6493
DP6493 ?The Child is Father of the Man:?Implications for the Demographic Transition
Omar Licandro; David de la Croix
发表日期2007-09-28
出版年2007
语种英语
摘要This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months. We extend the work of Longstaff (2000a) in two directions: (i) we implement statistical tests designed to increase test power in this context; (ii) more importantly, we assess the economic value of departures from the EH based on criteria of profitability and economic significance in the context of a simple trading strategy. The EH is rejected throughout the term structure examined on the basis of the statistical tests. However, the results of our economic analysis are favorable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant.
主题Financial Economics ; International Macroeconomics
关键词Economic value Expectation hypothesis Term structure of interest rates Vector autoregression
URLhttps://cepr.org/publications/dp6493
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/535332
推荐引用方式
GB/T 7714
Omar Licandro,David de la Croix. DP6493 ?The Child is Father of the Man:?Implications for the Demographic Transition. 2007.
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