Matches in SemOpenAlex for { <https://semopenalex.org/work/W2044861028> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2044861028 endingPage "705" @default.
- W2044861028 startingPage "691" @default.
- W2044861028 abstract "This paper employs a Kalman filter approach to test the Expectations Hypothesis and characterize how term premia have changed over time for short-term Canadian interest rates. The Kalman filter approach is extended to account for changes in interest rate volatility, possible permanent changes in term premia, and overlapping forecast errors. The Expectations Hypothesis is strongly rejected with estimated term premia displaying significant time variation. There is some evidence of a positive relationship between term premia and interest rate volatility, although other macroeconomic and political factors are important, especially exchange rate volatility. Also, estimated term premia were actually negative during the late 1980s." @default.
- W2044861028 created "2016-06-24" @default.
- W2044861028 creator A5043842721 @default.
- W2044861028 creator A5063954559 @default.
- W2044861028 date "2005-06-15" @default.
- W2044861028 modified "2023-09-24" @default.
- W2044861028 title "A Kalman filter approach to characterizing the Canadian term structure of interest rates" @default.
- W2044861028 cites W1534280113 @default.
- W2044861028 cites W1545455349 @default.
- W2044861028 cites W1555627432 @default.
- W2044861028 cites W1972019175 @default.
- W2044861028 cites W1995864121 @default.
- W2044861028 cites W2001888436 @default.
- W2044861028 cites W2014378975 @default.
- W2044861028 cites W2038532793 @default.
- W2044861028 cites W2041540273 @default.
- W2044861028 cites W2044117118 @default.
- W2044861028 cites W2045701221 @default.
- W2044861028 cites W2046973177 @default.
- W2044861028 cites W2061489468 @default.
- W2044861028 cites W2074812030 @default.
- W2044861028 cites W2079615115 @default.
- W2044861028 cites W2081475112 @default.
- W2044861028 cites W2095364399 @default.
- W2044861028 cites W2099647580 @default.
- W2044861028 cites W2105728634 @default.
- W2044861028 cites W2110031484 @default.
- W2044861028 cites W2146762522 @default.
- W2044861028 cites W2151993164 @default.
- W2044861028 cites W2152717893 @default.
- W2044861028 cites W2890136214 @default.
- W2044861028 cites W3122894236 @default.
- W2044861028 cites W3122989165 @default.
- W2044861028 cites W3123496354 @default.
- W2044861028 cites W3125499073 @default.
- W2044861028 cites W4246950982 @default.
- W2044861028 doi "https://doi.org/10.1080/09603100500107917" @default.
- W2044861028 hasPublicationYear "2005" @default.
- W2044861028 type Work @default.
- W2044861028 sameAs 2044861028 @default.
- W2044861028 citedByCount "18" @default.
- W2044861028 countsByYear W20448610282013 @default.
- W2044861028 countsByYear W20448610282014 @default.
- W2044861028 countsByYear W20448610282015 @default.
- W2044861028 countsByYear W20448610282016 @default.
- W2044861028 countsByYear W20448610282022 @default.
- W2044861028 crossrefType "journal-article" @default.
- W2044861028 hasAuthorship W2044861028A5043842721 @default.
- W2044861028 hasAuthorship W2044861028A5063954559 @default.
- W2044861028 hasBestOaLocation W20448610282 @default.
- W2044861028 hasConcept C105795698 @default.
- W2044861028 hasConcept C121332964 @default.
- W2044861028 hasConcept C149782125 @default.
- W2044861028 hasConcept C151541453 @default.
- W2044861028 hasConcept C157286648 @default.
- W2044861028 hasConcept C162324750 @default.
- W2044861028 hasConcept C175025494 @default.
- W2044861028 hasConcept C176230804 @default.
- W2044861028 hasConcept C33923547 @default.
- W2044861028 hasConcept C54775282 @default.
- W2044861028 hasConcept C556758197 @default.
- W2044861028 hasConcept C61797465 @default.
- W2044861028 hasConcept C62520636 @default.
- W2044861028 hasConcept C91602232 @default.
- W2044861028 hasConceptScore W2044861028C105795698 @default.
- W2044861028 hasConceptScore W2044861028C121332964 @default.
- W2044861028 hasConceptScore W2044861028C149782125 @default.
- W2044861028 hasConceptScore W2044861028C151541453 @default.
- W2044861028 hasConceptScore W2044861028C157286648 @default.
- W2044861028 hasConceptScore W2044861028C162324750 @default.
- W2044861028 hasConceptScore W2044861028C175025494 @default.
- W2044861028 hasConceptScore W2044861028C176230804 @default.
- W2044861028 hasConceptScore W2044861028C33923547 @default.
- W2044861028 hasConceptScore W2044861028C54775282 @default.
- W2044861028 hasConceptScore W2044861028C556758197 @default.
- W2044861028 hasConceptScore W2044861028C61797465 @default.
- W2044861028 hasConceptScore W2044861028C62520636 @default.
- W2044861028 hasConceptScore W2044861028C91602232 @default.
- W2044861028 hasIssue "10" @default.
- W2044861028 hasLocation W20448610281 @default.
- W2044861028 hasLocation W20448610282 @default.
- W2044861028 hasOpenAccess W2044861028 @default.
- W2044861028 hasPrimaryLocation W20448610281 @default.
- W2044861028 hasRelatedWork W1480085015 @default.
- W2044861028 hasRelatedWork W1961195611 @default.
- W2044861028 hasRelatedWork W2167201269 @default.
- W2044861028 hasRelatedWork W2561124238 @default.
- W2044861028 hasRelatedWork W3124560605 @default.
- W2044861028 hasRelatedWork W3124600531 @default.
- W2044861028 hasRelatedWork W3125099353 @default.
- W2044861028 hasRelatedWork W3171811523 @default.
- W2044861028 hasRelatedWork W4300489742 @default.
- W2044861028 hasRelatedWork W2159946765 @default.
- W2044861028 hasVolume "15" @default.
- W2044861028 isParatext "false" @default.
- W2044861028 isRetracted "false" @default.
- W2044861028 magId "2044861028" @default.
- W2044861028 workType "article" @default.