The Relative Impact of Expectations and Investor Preferences on the Structure of Government Yields

Naylor, John A.

doi:10.2307/1056208

Southern Economic Journal

1971

DOI: 10.2307/1056208

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The Relative Impact of Expectations and Investor Preferences on the Structure of Government Yields

John A. Naylor¹

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1976

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“…The regressive model has been applied to the term structure by Malkiel [30], Naylor [38], and Wendel [45]. Malkiel modifies the Keynesian concept of normal level when he discusses a “normal range” of interest rates.…”

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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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mentioning

confidence: 99%

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

Dobson¹,

Sutch²,

Vanderford³

1976

The Journal of Finance

View full text Add to dashboard Cite

show abstract

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The Relative Impact of Expectations and Investor Preferences on the Structure of Government Yields

Cited by 1 publication

References 21 publications

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

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

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