Construct · 1 fields · 1 citations

expectations hypothesis of the term structure: a standalone construct

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Asset pricing

the hypothesis that long-term yields equal the average of expected future short rates plus a constant premium, so yield spreads forecast rate changes.

In asset pricing, expectations hypothesis of the term structure refers to the hypothesis that long-term yields equal the average of expected future short rates plus a constant premium, so yield spreads forecast rate changes. This meaning comes from Campbell (1991) in The Review of Economic Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs constant2 fields · 2 citationsjingle · one word, two constructs future3 fields · 6 citationsjingle · one word, three constructs

References

Campbell, J. Y., & Shiller, R. J. (1991). Yield Spreads and Interest Rate Movements: A Bird's Eye View. The Review of Economic Studies, 58(3), 495. https://doi.org/10.2307/2298008

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