文章基本信息

标题：A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates
本地全文：下载
作者：Jean-michel Sahut
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2010
卷号：30
期号：3
页码：2297-2311
出版社：Economics Bulletin
摘要：Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (2001). We examine the impact of the nonlinearity of interest rates to explain the variability of risk premia on market rates. It is assumed that the term structure of interest rates can be identified by two factors, the risk-free rate and its volatility. The results of the linearity test against nonlinear alternatives suggest that there is clear evidence of nonlinearity. Our empirical study shows that correctly accounting for the nonlinearity of the term structure of interest rates may explain the variability of risk premia and the specific characteristics of interest rate dynamics on the U.S. market