Near Unit Roots and the Predictive Power of Yield Spreads for Changes in Long-Term Interest Rates
发现收益率差预测长期利率变化的能力被拒绝，往往是因为收益率差高度持久性导致标准推断失效。使用Cavanagh等人（1995）的渐近有效方法分析美国月度数据，发现收益率差的持久性随时间变化，在子样本中，长期端不能拒绝预期假说。
The ability of yield spreads to predict changes in long-term interest rates implied by the expectations hypothesis is usually rejected. It is suggested that this rejection is often caused by high persistence in the spread when standard inference is employed. Instead, the asymptotically valid method of Cavanagh et al. (1995) is applied to monthly U.S. data from 1952:1-1991:2. The persistence of the spreads seems to have varied over time, and in subsample analysis, the expectations hypothesis cannot be rejected at the long end of the maturity spectrum. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology