Ein Test der Erwartungshypothese der Fristigkeitsstruktur der Zinssätze”. Der Zusammenhang zwischen Glättung von Renditekurven, error-learning Hypothese und Fristigkeitsstruktur der Zinssätze
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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
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Jüttner, D. Johannes
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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