Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors
使用Johansen的完全信息最大似然法检验与期限结构预期假说一致的协整约束，发现收益率曲线由利率间的协整关系决定，但短期利率难以纳入受限协整系统，且长期债券的短期投机回报不符合预期假说。
I test cointegration restrictions that are consistent with the expectations hypothesis of the term structure by employing the full-information maximum likelihood methods developed by Johansen. Yield curves appear to be the result of cointegration among interest rates. The cointegration vectors that best describe the long-term impact of interest-rate levels on interest-rate changes can often be written as linear combinations of interest-rate spreads. There is, however, difficulty in keeping short-term yields in such a restricted cointegrated system with other interest rates. Short-term speculative returns from long-term bonds do not conform to the expectations hypothesis.