Repository logo
  • English
  • Deutsch
  • Log In
    or
Repository logo
  • Research Outputs
  • Projects
  • People
  • Statistics
  • English
  • Deutsch
  • Log In
    or
  1. Home
  2. HSG CRIS
  3. HSG Publications
  4. Explaining the Failure of the Expectations Hypothesis with Short-Term Rates
 
Options

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Type
presentation
Date Issued
2017-06-02
Author(s)
Ranaldo, Angelo
Rupprecht, Matthias
Abstract
This paper provides the rst systematic study of the temporal and cross-sectional Variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation a ecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are a ected by funding risk and collateral risk
Keywords
Expectations hypothesis
interest rates
risk premium
monetary policy
repo
HSG Classification
contribution to scientific community
Event Title
Research Seminar hosted at SNB
Event Location
Zürich
Event Date
2. Juni 2017
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/102292
Subject(s)
  • economics

  • finance

Division(s)
  • s/bf - Swiss Institut...

  • SoF - School of Finan...

Eprints ID
251172
google-scholar
View statistics
Download statistics
here you can find instructions

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science

  • Cookie settings
  • Privacy policy
  • End User Agreement
  • Send Feedback