Expectations and Risk in the Treasury Bill Market: An Instrumental Variables Approach
用工具变量法检验1961-1988年国库券市场的理性预期，发现当风险溢价与超额收益波动性成比例时，理性预期在1961-1979年两个子期均不能被拒绝，且收益率曲线和风险溢价预测力显著。
This paper examines rational expectations in the Treasury bill market from 1961 to 1988 with a risk premium specified to be proportional to the volatility of excess returns using instrumental variables. From 1961 to 1972 and from 1972 to 1979, rational expectations cannot be rejected, and both the predictive power of the yield curve and the risk premium are highly significant. By contrast, with just a constant risk premium and with a risk pre? mium proxied by moving averages of absolute interest rate changes, rational expectations are rejected for each subperiod, and the yield curve has significant predictive information only from 1972 to 1979.