The term structure of very short-term rates: New evidence for the expectations hypothesis

• 成果类型: Article
• 署名作者: Longstaff, FA
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00077-5
• 发表日期: 2000
• 页码: 397-415
• 关键词: expectations hypothesis; Interest rates

摘要

Empirical researchers have frequently rejected the expectations hypothesis. The expectations hypothesis, however, has seldom, if ever, been tested at the extreme short end of the term structure where maturities are measured in days or weeks. Using overnight, weekly, and monthly ripe rates, I find that term rates are almost unbiased estimates of the average overnight rate. This evidence provides new support for the expectations hypothesis. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: E43.