Expectations Puzzle, Time-varying Risk Premia, and Dynamic Models of the Term Structure

Preprint

1 January 2000

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.242607

Abstract

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional "expectations theory," we s

Keywords

SSRN
EXPECTATIONS PUZZLE
TIME-VARYING RISK PREMIA
AND DYNAMIC MODELS OF THE TERM STRUCTURE
QIANG DAI
KENNETH J. SINGLETON

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