The Term Structure of Interest Rates: An Analysis of a Survey of Interest-Rate Expectations

Management Anticipation of Interest Rates: The Case of Commercial Banks

“…The 1 -day and 6-month gap positions are consistent with perfect foresight forecasts in two years, while the 1-year gap position is consistent in a single year -1986. The rejections of H1 are consistent with Kane and Malkiel's (1967) conclusion that the ability and/or willingness to predict interest rates decreases with the futurity of the rate being predicted. For pure expectations forecasts, H1 is also rejected for 8-year horizon scenarios: the 3-and 6-month gap positions in every year.…”

Nested Tests of Alternative Term-Structure Theories

“…Kane and Malkiel (1967) explains our procedures in more detail arid reports term premia observed in our first (April, 1965) survey.…”

Finance

“…The expectations-forming mechanisms utilized in empirical studies have been varied and inventive. They have included an error-learning mechanism (Meiselman, 1962); distributed lags on past rates (Modigliani and Sutch, 1966) or on inflation (Modigliani and Shiller, 1973;; use of ex post data under an assumption that market efficiency and rationality require that ex post realizations do not differ systematically from ex ante views (Roll, 1970;Fama, 1984a and b); and survey data assumed to reflect the actual expectations of market participants (Kane and Malkiel, 1967;Malkiel and Kane, 1968;Kane, 1983). While affirming the general importance of expectations in influencing the shape of the yield curve, empirical studies have generally rejected the pure form of the expectations hypothesis.…”