Expectations hypotheses tests

• 成果类型: Article; Proceedings Paper
• 署名作者: Bekaert, G; Hodrick, RJ
• 署名单位: Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00371
• 发表日期: 2001
• 页码: 1357-1394
• 关键词: maximum-likelihood-estimation; SMALL-SAMPLE PROPERTIES; term structure; rates; support; biases

摘要

We investigate the expectations hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. We examine Wald, Lagrange multiplier, and distance metric tests by iterating on approximate solutions that require only matrix inversions. Bias-corrected, constrained VARs provide Monte Carlo simulations. Wald tests grossly overreject the null, Lagrange multiplier tests slightly underreject, and distance metric tests overreject. A common interpretation emerges from the small sample statistics. The evidence against the expectations hypotheses is much less strong than under asymptotic inference.