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dc.contributor.authorCLEMENTS, Michael P.
dc.contributor.authorGALVAO, Ana Beatriz C.
dc.date.accessioned2011-04-19T12:46:56Z
dc.date.available2011-04-19T12:46:56Z
dc.date.issued2003
dc.identifier.citationMacroeconomic Dynamics, 2003, 7, 4, 567-585
dc.identifier.issn1365-1005
dc.identifier.urihttp://hdl.handle.net/1814/16416
dc.description.abstractWe test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.
dc.language.isoen
dc.publisherCambridge Univ Press
dc.subjectterm structure
dc.subjectexpectations theory
dc.subjectthreshold models
dc.titleTesting the Expectations Theory of the Term Structure of Interest Rates in Threshold Models
dc.typeArticle
dc.identifier.doi10.1017/S1365100502020163
dc.identifier.doi10.1017/S1365100502020163
dc.neeo.contributorCLEMENTS|Michael P.|aut|
dc.neeo.contributorGALVAO|Ana Beatriz C.|aut|
dc.identifier.volume7
dc.identifier.startpage567
dc.identifier.endpage585
eui.subscribe.skiptrue
dc.identifier.issue4


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