JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Ein Test der Erwartungshypothese der Fristigkeitsstruktur der Zinssätze”. Der Zusammenhang zwischen Glättung von Renditekurven, error-learning Hypothese und Fristigkeitsstruktur der Zinssätze
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 95 (1975), Iss. 2 : pp. 177–186
Additional Information
Article Details
Jüttner, D. Johannes
References
-
Buse, A. (1967), Interest Rates, the Meiselman Model and Random Numbers, Journal of Political Economy, 75 (1967), S. 49 - 62.
Google Scholar -
Conard, J. W. (1959), An Introduction to the Theory of Interest, Berkeley and Los Angeles 1959.
Google Scholar -
Durand, D. (1942), Basic Yields of Corporate Bonds, 1900- 1942, Technical Paper No. 3, N.B.E.R., New York 1942.
Google Scholar -
Jüttner, D. J. (1974), Zur Struktur der Zinssätze in der Bundesrepublik, Zeitschrift für die gesamte Staatswissenschaft, 130 (1974).
Google Scholar -
Jüttner, D. J., G. M. Madden und R. H. Tuckwell (1975), Kapitalmarkteffizienz und Fristigkeitsstruktur der Zinssätze in der BRD, Konjunkturpolitik 21 (1975).
Google Scholar -
Kessel, R. A. (1965), The Cyclical Behaviour of the Term Structure of Interest Rates, N.B.E.R. Occasional Paper No. 91, New York 1965.
Google Scholar -
Meiselman, D. (1962), The Term Structure of Interest Rates, Englewood Cliffs, N.Y. 1962. Smith, V.K.and R. G. Marcis (1972), A Time Series Analysis of Post-Accord Interest Rates, Journal of Finance, 27 (1972).
Google Scholar -
Wood, J. H. (1963), Expectations, Errors and the Term of Interest Rates Journal of Political Economy, 71 (1963).
Google Scholar
Abstract
The present study attempts to explain the term structure of interest rates in the Federal Republic of Germany using the error-learning approach. Satisfactory test results could only be achieved with smoothed yield curves. When interest rates on yield curves which have been constructed in such a way, move up and down together, they tend to generate favourable empirical estimates for the Meiselman-hypothesis. However, this result cannot be interpreted behaviouristically, implying a revision of expectations on the basis of a simple error-learning process. The formation of expectations is more complex than this approach leads us to believe