| Description |
1 online resource (iii, 27 pages) : illustrations |
| Series |
IMF working paper ; WP/91/134 |
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IMF working paper ; WP/91/134.
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| Summary |
We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. a simple, market segmentation approach is, however, moderately successful in explaining the term premium |
| Bibliography |
Includes bibliographical references (pages 25-27) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
English |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Interest rates -- Great Britain -- Econometric models
|
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Government securities -- Great Britain
|
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Prime rate -- Great Britain
|
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Prime rate
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Government securities
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Interest rates -- Econometric models
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Great Britain
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| Form |
Electronic book
|
| Author |
International Monetary Fund. Research Department, issuing body.
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| ISBN |
1455233285 |
|
9781455233281 |
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1462302475 |
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9781462302475 |
|
