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- W2188786431 abstract "This paper estimates the predictive power of the spread for short rate changes in a regression framework allowing for ARCH-M effects, which should take into account time variation in the term premium. Monthly data for one and three months Euro interest rates covering nine currencies and the period 1979/11 — 91/2 indicate that the spread has clearly predictive power for one-months interest rates as implied by the expectations theory, but the parametric restriction of the expectations theory has to be rejected in a statistical test in most cases." @default.
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- W2188786431 date "1994-01-01" @default.
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- W2188786431 title "The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results" @default.
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- W2188786431 doi "https://doi.org/10.1007/978-3-642-48666-1_9" @default.
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