Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure
Article Abstract:
The failure of the expectations theory of the term structure when compared to the empirical outcome can be attributed to the stringency of the theory. The ARCH-M model of obtaining time-varying liquidity premium in a manner empirically compliant is applied to account for the irregularities in the observed relation between market forecast error and the current yield spread. Results substantiate previous findings concerning the statistical significance of a time-varying liquidity premium exemplified as ARCH-in-mean, however, not all inconsistencies of forecast errors and spreads are accounted for.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1997
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The instability of the money demand function: an I(2) interpretation
Article Abstract:
Money demand functions are analyzed, indicating a direct linkage of stable demand functions and I(2) components.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2001
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