371
Views
1
CrossRef citations to date
0
Altmetric
Articles

The expectations hypothesis of the term structure of interest rates: The Brazilian case revisited

&

References

  • Beechey, M., E. Hjalmarsson, and P. Österholm. 2009. “Testing the Expectations Hypothesis When Interest Rates Are near Integrated.” Journal of Banking & Finance 33 (5, May): 934–943. doi:10.1016/j.jbankfin.2008.10.008.
  • Caldeira, J. F., G. V. Moura, and A. A. Santos. 2016. “Predicting the Yield Curve Using Forecast Combinations.” Computational Statistics & Data Analysis 100 (3): 79–98. doi:10.1016/j.csda.2014.05.008.
  • Campbell, J. Y., and R. J. Shiller. 1991. “Yield Spreads and Interest Rate Movements: A Bird’s Eye View.” Review of Economic Studies 58 (3): 495–514. doi:10.2307/2298008.
  • Cochrane, J. H., and M. Piazzesi. 2005. “Bond Risk Premia.” American Economic Review 95 (1, March): 138–160. doi:10.1257/0002828053828581.
  • Eriksen, J. N. 2017. “Expected Business Conditions and Bond Risk Premia.” Journal of Financial and Quantitative Analysis 52 (4): 1667–1703. doi:10.1017/S0022109017000369.
  • Fama, E. F., and R. R. Bliss. 1987. “The Information in Long-Maturity Forward Rates.” American Economic Review 77 (4, September): 680–692.
  • Guidolin, M., and D. L. Thornton (2010). Predictions of Short-Term Rates and the Expectations Hypothesis. Working Papers 2010-013, Federal Reserve Bank of St. Louis.
  • Newey, W., and K. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Auto- Correlation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.
  • Tabak, B. 2009. “Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates: A Cointegration Analysis.” Applied Economics 41 (21): 2681–2689. doi:10.1080/00036840701335579.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.