Near Unit Roots and the Predictive Power of Yield Spreads for Changes in Long-Term Interest Rates
Bibliographic Data
| ID | 19317524 |
|---|---|
| Authors | Markku Lanne (0000-0001-9397-2578, University of Helsinki, corresponding author) |
| Year | 1999 |
| Volume | 81 |
| Issue | 3 |
| Pages | 393-398 |
| Publication date | 1999-08-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/003465399558328 |
| OpenAlex | W2002594260 |
| Language | EN |
| Citations received | 2 |
| References cited | 12 |
The ability of yield spreads to predict changes in long-term interest rates implied by the expectations hypothesis is usually rejected. It is suggested that this rejection is often caused by high persistence in the spread when standard inference is employed. Instead, the asymptotically valid method of Cavanagh et al. (1995) is applied to monthly U.S. data from 1952:1-1991:2. The persistence of the spreads seems to have varied over time, and in subsample analysis, the expectations hypothesis cannot be rejected at the long end of the maturity spectrum
Econometrics · Economics · Inference · Interest rate · Maturity (psychological) · Monetary economics · Persistence (discontinuity) · Physics · Predictive power · Term (time) · Unit root · Yield (engineering) · Yield curve · Computer Science · Geology · Housing Market and Economics · Mathematics · Monetary Policy and Economic Impact · Philosophy · Psychology · Stochastic processes and financial applications
| Citations per year | 0.09 |
|---|---|
| Citation span | 2003 - 2025 (23) |
| Highly cited | No |