Structural breaks, parameter uncertainty, and term structure puzzles

• 成果类型: Article
• 署名作者: Bulkley, George; Giordani, Paolo
• 署名单位: University of Bristol
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.05.009
• 发表日期: 2011
• 页码: 222-232
• 关键词: Change-point; learning; expectations hypothesis

摘要

We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in the same way that is found in empirical tests. (C) 2011 Elsevier B.V. All rights reserved.