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• W1979791027 abstract "In this paper, a rolling vector error correction model (VECM) is proposed to construct measures of the market's time-varying conditional expectations of the 3-month money rates starting 13 weeks hence for several major EMS member countries. VECM-based predictions provide the basis for computing ex-ante out-of-sample estimates of the term premia. These term premia are then used to adjust the yield spreads as a prelude to investigating their ability to predict future interest rates. The source(s) of the yield spread bias are discussed. While the expectations hypothesis is resoundingly rejected using the standard test specification, yield spreads adjusted for time-varying term premia are found to possess substantial predictive ability and, in many instances, the expectations hypothesis is not rejected. The robustness of the results across the different European money markets and sample periods is highly encouraging. The test results underscore the importance of incorporating into the test specification the equilibrium cointegrating constraints if they exist. (JEL G15). © 1997 Elsevier Science Ltd." @default.
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• W1979791027 date "1997-09-01" @default.
• W1979791027 modified "2023-09-25" @default.
• W1979791027 title "On risk, rationality and the predictive ability of European short-term adjusted yield spreads" @default.
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• W1979791027 doi "https://doi.org/10.1016/s0261-5606(97)00029-6" @default.
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