The expectations hypothesis, term premia, and the Canadian term structure of interest rates
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Abstract
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DOI: 10.1111/0008-4085.00009
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Cited by:
- Fabrizio Casalin, 2007.
"Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates,"
Discussion Papers in Economics
07/06, Division of Economics, School of Business, University of Leicester.
- Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Working Papers 110, University of Milano-Bicocca, Department of Economics, revised 2007.
- Samih Antoine Azar, 2018. "Forward Unbiasedness in the Short End of the Interest Rate Market," International Business Research, Canadian Center of Science and Education, vol. 11(2), pages 70-78, February.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011.
"Time-variation in term premia: International survey-based evidence,"
Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
- Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
- Modena, Matteo, 2008.
"The term structure and the expectations hypothesis: a threshold model,"
MPRA Paper
9611, University Library of Munich, Germany.
- Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Business School - Economics, University of Glasgow.
- Godbout, Lise & Storer, Paul & Zimmermann, Christian, 2002.
"The Canadian treasury bill auction and the term structure of interest rates,"
Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1165-1179, June.
- Lise Godbout & Paul Storer & Christian Zimmermann, 1999. "The Canadian Treasury Bill Auction and the Term Structure of Interest Rates," Cahiers de recherche CREFE / CREFE Working Papers 75, CREFE, Université du Québec à Montréal.
- Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Staff Working Papers 03-26, Bank of Canada.
- Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
- Wolff, Christian & Verschoor, Willem F C & Jongen, Ron, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers.
- Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2020.
"A time–frequency analysis of the Canadian macroeconomy and the yield curve,"
Empirical Economics, Springer, vol. 58(5), pages 2333-2351, May.
- Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2017. "A time-frequency analysis of the Canadian macroeconomy and the yield curve," NIPE Working Papers 12/2017, NIPE - Universidade do Minho.
- Walid Hejazi, 2000. "Yield spreads as predictors of industrial production: expectations on short rates or term premia?," Applied Economics, Taylor & Francis Journals, vol. 32(8), pages 945-951.
- Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
- Walid Hejazi & Zhixin Li, 2000. "Are forward premia mean reverting?," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 343-350.
More about this item
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G1 - Financial Economics - - General Financial Markets
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