Meiselman on the Structure of Interest Rates: A British Test

Grant, John A.

doi:10.2307/2550926

Cited by 17 publications

(12 citation statements)

References 7 publications

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“…Meiselman's [40] empirical work supports the pure expectations theory, but his results are questioned in studies by Grant [21], Buse [7], Malkiel and Kane [35], and others.…”

Section: Theories Of the Term Structurementioning

confidence: 99%

A Multivariate Model of the Term Structure*

Langetieg¹

1980

The Journal of Finance

143

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“…Meiselman's [40] empirical work supports the pure expectations theory, but his results are questioned in studies by Grant [21], Buse [7], Malkiel and Kane [35], and others.…”

Section: Theories Of the Term Structurementioning

confidence: 99%

A Multivariate Model of the Term Structure*

Langetieg¹

1980

The Journal of Finance

143

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“…The data used in the study is taken from Grant [8], with corrections kindly supplied by him. It is of hypothetical yields on British Government securities over the period December 1924 to September 1962, available quarterly and with lengths to maturity of 1, 2, 3, 4, 5, 6, 11 and 15 years, together with a series for consols.…”

Section: Introductionmentioning

confidence: 99%

Spectral Analysis of the Term Structure of Interest Rates

Granger¹,

Rees²

1968

The Review of Economic Studies

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“…Meiselntan's model has been estimated with a variety of data by a number of authors, including Buse ([4], [5], [6]): Fisher [14], Grant [15], Holland [22], Kessel [26], Malkiel and Kane [31], Nelson [39], and Van Horn [44].…”

mentioning

confidence: 99%

“…similar to the one imposed on the exponential version of the regressive model by equation(15). Here the parameter8 replaces the y of that equation.…”

mentioning

confidence: 99%

An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates*

Dobson¹,

Sutch²,

Vanderford³

1976

The Journal of Finance

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NUMEROUS EMPIRICAL STUDIES of the term structure of interest rates have been published in recent years. Yet despite the considerable interest in the field, little effort has been devoted to a careful comparison and evaluation of the alternative hypotheses, alternative specifications, and diverse results which have been reported in the literature.' In general, the authors of empirical studies have remained content to estimate the parameters of their models and to test them for broad consistency with the data under examination. Unfortunately, it is not possible to compare these alternative models directly by examining the published statistical results since each author has chosen to examine a different sample of data. Their studies span different time periods. Moreover, some have used yearly data while others have employed quarterly, monthly or weekly observations. Most of the empirical studies have concentrated upon the bond markets in the United States, though English and Canadian data have also been analyzed. The studies have dealt with both corporate and government securities and have drawn from a variety of sources for their time series of observations. It is the purpose of this study to evaluate the alternative models and specifications by re-estimating each hypothesis using a consistent body of data. Of course, it will not be possible to prove the "correctness" of any given formulation, since a model that explains one set of observations may fail to explain another set in some subsequent experiment. On the other hand, it will be possible, as we shall see, to reject a number of formulations as inconsistent with our observations of the world and to choose among those remaining the model that best explains the data. I. THE RoLE OF EXPECTATIONSWith few exceptions there appears to be a basic agreement that expectations of

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Meiselman on the Structure of Interest Rates: A British Test

Cited by 17 publications

References 7 publications

A Multivariate Model of the Term Structure*

A Multivariate Model of the Term Structure*

Spectral Analysis of the Term Structure of Interest Rates

An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates*

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