New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
利用利率预期调查数据，分别检验预期假说失效和预期未来利率预测低效两种假设，发现短期利率预期假说失效，但长期收益率曲线变化完全反映预期未来利率变化，支持预期假说。
Survey data on interest rate expectations permit separate testing of the two alternative hypotheses in traditional term structure tests: that the expectations hypothesis fails, and that expected future interest rates are ex post inefficient forecasts. We find that the source of the spread's poor predictions of future interest rates varies with maturity. At short maturities the expectations hypothesis fails. At long maturities, however, changes in the yield curve reflect changes in expected future rates one-for-one, an implication of the expectations hypothesis. This result confirms earlier findings that long rates underreact to short rates, but now it cannot be attributed to term premia.