Peso problem explanations for term structure anomalies

• 成果类型: Article
• 署名作者: Bekaert, G; Hodrick, RJ; Marshall, DA
• 署名单位: Federal Reserve System - USA; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00075-7
• 发表日期: 2001
• 页码: 241-270
• 关键词: term structure; regime switching; expectations hypothesis

摘要

We investigate whether term structure anomalies in U.S. data may be due to a generalized peso problem, in which a high-interest-rate regime occurred less frequently in the U.S. sample than was rationally anticipated. We formalize this idea by estimating a regime-switching model of short-term interest rates with data from seven countries. Under the small-sample distributions generated by the model, the expectations hypothesis is rejected. When we allow moderate time variation in term premiums, the term-premium dynamics interact with peso-problem effects to generate small-sample distributions more consistent with the data. Nonetheless, our model cannot fully account for U,S. term structure anomalies. (C) 2001 Published by Elsevier Science B.V.