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Structural Breaks, Parameter Uncertainty and Term Structure Puzzles

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Structural Breaks, Parameter Uncertainty and Term Structure Puzzles. / Bulkley, I.G; Paolo, Giordai.

In: Journal of Financial Economics, Vol. 102, No. 1, 10.2011, p. 222 - 232.

Research output: Contribution to journalArticle

Harvard

Bulkley, IG & Paolo, G 2011, 'Structural Breaks, Parameter Uncertainty and Term Structure Puzzles', Journal of Financial Economics, vol. 102, no. 1, pp. 222 - 232. https://doi.org/10.1016/j.jfineco.2011.05.009

APA

Bulkley, I. G., & Paolo, G. (2011). Structural Breaks, Parameter Uncertainty and Term Structure Puzzles. Journal of Financial Economics, 102(1), 222 - 232. https://doi.org/10.1016/j.jfineco.2011.05.009

Vancouver

Bulkley IG, Paolo G. Structural Breaks, Parameter Uncertainty and Term Structure Puzzles. Journal of Financial Economics. 2011 Oct;102(1):222 - 232. https://doi.org/10.1016/j.jfineco.2011.05.009

Author

Bulkley, I.G ; Paolo, Giordai. / Structural Breaks, Parameter Uncertainty and Term Structure Puzzles. In: Journal of Financial Economics. 2011 ; Vol. 102, No. 1. pp. 222 - 232.

Bibtex

@article{731df85440ce4b558d06b83ce2491f26,
title = "Structural Breaks, Parameter Uncertainty and Term Structure Puzzles",
abstract = "We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in the same way that is found in empirical tests.",
author = "I.G Bulkley and Giordai Paolo",
year = "2011",
month = "10",
doi = "10.1016/j.jfineco.2011.05.009",
language = "English",
volume = "102",
pages = "222 -- 232",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "North-Holland Publishing Company",
number = "1",

}

RIS - suitable for import to EndNote

TY - JOUR

T1 - Structural Breaks, Parameter Uncertainty and Term Structure Puzzles

AU - Bulkley, I.G

AU - Paolo, Giordai

PY - 2011/10

Y1 - 2011/10

N2 - We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in the same way that is found in empirical tests.

AB - We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in the same way that is found in empirical tests.

U2 - 10.1016/j.jfineco.2011.05.009

DO - 10.1016/j.jfineco.2011.05.009

M3 - Article

VL - 102

SP - 222

EP - 232

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 1

ER -