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

Francis A. Longstaff2000

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

Francis A. Longstaff

188 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Stochastic processes and financial applications

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References

2012The Econometrics of Financial Markets 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 1987The Information in Long-Maturity Forward Rates 1996Modeling the conditional distribution of interest rates as a regime-switching process 1996The econometrics of financial markets 1984The information in the term structure

Cited by

2007Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads 2009Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity 2003Nonlinear Mean Reversion in the Short-Term Interest Rate 2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆2002Liquidity risk and specialness 2003Likelihood-based specification analysis of continuous-time models of the short-term interest rate

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2006The Behavior of Interest Ratesarticle · 8 shared references 2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆article · 8 shared references 2006Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradoxarticle · 8 shared references 2003Term Structure Dynamics in Theory and Realityarticle · 7 shared references 2003The maturity of debt issues and predictable variation in bond returnsarticle · 7 shared references 2003Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradoxreport · 7 shared references

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Year2000

Typearticle

Published2000-12-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations188

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0304-405x(00)00077-5

openalex_workW1973329045

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