On the Expectations View of the Term Structure, Term Premia and Survey- Based Expectations
利用英国未来利率预期的微观调查数据，检验短期利率期限结构的预期模型。总体数据拒绝该模型，但发现部分个体的纯预期模型无法被拒绝。
In this paper UK disaggregate survey data of expected future interest rates are used to test the \nexpectations model of the term structure of interest rates at the short end of the maturity spectrum. \nIn the aggregate, the expectations model is rejected, and both time-varying term premia and \nexpected interest rate changes are demonstrated to be important in explaining the slope of the yield \ncurve. Within the aggregate data, however, we demonstrate that there are some differences with \nrespect to the views of the term structure held. For example, for some individuals the pure \nexpectations model cannot be rejected.