Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00181-019-01629-0/fulltext.html
Reference26 articles.
1. Beechey M, Hjalmarsson E, sterholm P (2009) Testing the expectations hypothesis when interest rates are near integrated. J Bank Finance 33(5):934–943
2. Bernanke BS, Blinder AS (1992) The federal funds rate and the channels of monetary transmission. Am Econ Rev 82(4):901–921
3. Caldeira JF, Moura GV, Santos AAP (2016) Predicting the yield curve using forecast combinations. Comput Stat Data Anal 100(3):79–98
4. Campbell JY, Shiller RJ (1991) Yield spreads and interest rate movements: a bird’s eye view. Rev Econ Stud 58(3):495–514
5. Campbell JY, Thompson SB (2008) Predicting excess stock returns out of sample: can anything beat the historical average? Rev Financ Stud 21(4):1509–1531
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