Parameter uncertainty and the rational expectations model of the term structure

Article Abstract:

The parameter uncertainty hypothesis is used to explain findings that interest rates do not behave as predicted by the expectations model of the term structure and efficient markets-rational expectations hypothesis. It is shown that inconsistency with the joint hypothesis occurs if the rational expectations are defined in a Muthian form, wherein market participants know the model parameters that relate current information to future interest rates.

Models, Markets (Economics), Rational expectations (Economics)

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On the short-term predictability of exchange rates: a BVAR time-varying parameters approach

Article Abstract:

Usage of Bayesian vector autoregressive model for assessment of profitability of short-term exchange rate forecasting, based on time-varying parameters, is described.

United Kingdom, Administration of General Economic Programs, Foreign Exchange & Reserves Policy, Evaluation, Foreign exchange

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Multivariate term structure models with level and heteroskedasticity effects

Article Abstract:

A study evolving a GARCH model that varies on multiple conditions of long rate and term structure spread is presented.

Denmark, Interest Rates, Term loans

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