Title

Cointegration Analysis of the Expectations Theory of the Term Structure

Document Type

Article

Language

eng

Format of Original

12 p.

Publication Date

8-1995

Publisher

Elsevier

Source Publication

Journal of Economics and Business

Source ISSN

0148-6195

Abstract

This paper tests the expectations theory of the term structure at the short end of the maturity spectrum. Using Johansen's maximum-likelihood approach to estimation and inference on cointegration, it is found that in the period from 1981.3 through 1994.1, a survey-based measure of expected future 3-month Treasury bill rate is cointegrated with the forward rate calculated from the 3- and 6-month Treasury bill yields. Moreover, along the stochastic trend common to these rates, the pure form of the expectations theory is rejected but the strong form of this theory is not.

Comments

Journal of Economics and Business, Vol. 47, No. 3 (August 1995): 281-292. DOI.

Share

COinS