The term structure of very short-term rates : New evidence for the expectations hypothesis q

  • Francis A. Longsta

Abstract

Empirical researchers have frequently rejected the expectations hypothesis. The expectations hypothesis, however, has seldom, if ever, been tested at the extreme short end of the term structure where maturities are measured in days or weeks. Using overnight, weekly, and monthly repo rates, I "nd that term rates are almost unbiased estimates of the average… (More)

6 Figures and Tables