Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?
检验金融市场是否短视，通过研究利率期限结构，发现长期利率对短期利率水平或变化均未反应过度，表明债券市场参与者并非短视或对近期事件过度敏感。
This paper examines the hypothesis that financial markets are myopic by studying the term structure of interest rates. White rejecting decisively the traditional expectations hypothesis regarding the term structure, our statistical results also lead us to conclude that long term interest rates do not overreact to either the level or the change in short term rates. This finding suggests that participants in bond markets are not myopic or overly sensitive to recent events. Our statistical results also suggest that most variations in the yield curve reflect changes in liquidity premia rather than expected changes in interest rates.