Spectral Analysis of the Term Structure of Interest Rates

A Model of the Structure of Prices of Marketable U.S. Treasury Securities

“…Assuming that the government debt in each class is held constant at some level, we would require for stability that unit interval, and by selecting those estimates for which R2 is the largest. This is not surprising in view of the evidence found by Granger and Rees [9] that yields (British data) fit a random waLk model very well. The largest values of R2 tend to occur for the values of,B equal to .1 or .9 for the quarterly data.…”

“…In general, this hypothesis implies that the investor maximizes the preference or utility function u = u(E, V) (9) subject to those constraints that condition his investment behavior. In general, this hypothesis implies that the investor maximizes the preference or utility function u = u(E, V) (9) subject to those constraints that condition his investment behavior.…”

Test FOR Dynamic Relationship between Financial Development and Economic Growth in Malaysia: A Vector Error Correction Modeling Approach

“…Intuitively, if X the trend value of Y t (independent variable). Through the error correction term, VECM allows the discovery of Granger's causality relation which has been abandoned by Granger (1968) and Sims (1972).…”

Time Series Analysis of the Term Structure of Australian Interest Rates*

“…On the basis of the content of this equation and the fact that our study shows that all spot rates tend to move together with little or no lag, it is not surprising that Bloch achieved significant results. But whether his statistical results can be interpreted as support for his hypothesis of a behavioural relationship based on the expectations of bond market participants would appear to be highly dubious, a point that has long been recognized in the literature (Buse [2], Telser [lo, p. 1551) .e Apart from anything else, a necessary condition for the validity of such an hypothesis would appear to be a reasonable turnover in the 6 Buse [Z, pp. 58-61] demonstrated in his study that a statistical confirmation of the expectational hypothesis does not necessarily imply its validity.…”