The Expectations Hypothesis of the Term Structure and Time‐Varying Risk Premia: a Panel Data Approach
用面板数据检验期限结构的预期假说，发现即使允许时变风险溢价，该假说仍被拒绝，但估计系数的偏差大幅减小。
One implication of the expectations hypothesis is that the yield spread should forecast subsequent changes in the long yield. However, regression tests based on this specification strongly reject the expectations hypothesis. One explanation for this rejection is that these tests fail to allow for a time varying risk premium that is correlated with this yield spread, leading to a bias in the estimated regression coefficients. This paper uses panel data in order to testm the expectations hypothesis under the assumption that risk premia are time‐varying but driven by a single factor. It is found that while the expectations hypothesis is still rejected, the bias in the estimated coefficient is verysubstantially reduced.