A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
用美国和英国月度利率数据，发现单方程检验拒绝预期假说，但VAR模型和工具变量回归不拒绝含随机期限溢价的预期模型，调和了矛盾结果。
In this paper we attempt to reconcile contradictory empirical results for the expectations model of the term structure which are found when it is tested by a variety of methods based on single‐equation and VAR models. Using monthly data for one‐month and three‐month interest rates, we show that the expectations hypothesis is rejected for the US and UK term structures on the basis of some popular tests. However, tests based on VAR models or on IV regressions of yield spreads on future short rate changes provide no evidence against the expectations model with a random component in the term premium.