| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6493 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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