Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
金融因子、宏观信息与利率期限结构的预期理论
In this paper we develop on the VAR framework, originally proposed by Campbell and Shiller (J. Political Econom 95 (1987) 1062) to evaluate the Expectations Theory, along three dimensions: the use of a testing method based on a real-time procedure, the measurement of the risk premium, the specification of the implicit monetary policy maker’s reaction function. We use financial factors and macroeconomic information to construct a test of the theory based on simulating…