On the expectations view of the term structure, term premia and survey-based expectations

MacDonald, R. and MacMillan, P. (1994) On the expectations view of the term structure, term premia and survey-based expectations. Economic Journal, 104(426), pp. 1070-1086. (doi: 10.2307/2235065)

Abstract

In this paper UK disaggregate survey data of expected future interest rates are used to test the expectations model of the term structure of interest rates at the short end of the maturity spectrum. In the aggregate, the expectations model is rejected, and both time-varying term premia and expected interest rate changes are demonstrated to be important in explaining the slope of the yield curve. Within the aggregate data, however, we demonstrate that there are some differences with respect to the views of the term structure held. For example, for some individuals the pure expectations model cannot be rejected.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: MacDonald, Professor Ronald
• Authors: MacDonald, R., and MacMillan, P.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Economic Journal
• Publisher: Wiley-Blackwell Publishing Ltd.
• ISSN: 0013-0133
• ISSN (Online): 1468-0297