RDP 8607: The Expectations Theory of the Term Structure and Short-Term Interest Rates in Australia Bibliography

Bloch, F.A. (1974), “The Term Structure of Interest Rates in Australia: A Test Using the Error Learning Model”, Economic Record, March, pp.77–93.

Campbell, J.Y. (1986), “A Defense of the Traditional Hypotheses about the Term Structure of Interest Rates”, Journal of Finance Vol. 41, No. 1 pp.183–195.

Campbell, J.Y. and R.J. Shiller (1984), “A Simple Account of the Behaviour of Long-Term Interest Rates”, American Economic Review Vol. 4, No. 2 pp.44–48.

Cox, J.C., Ingersoll, J.E. and S.A. Ross (1981), “A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates”, Journal of Finance, Vol. 36, No. 4 pp.769–799.

Fama, E.F. (1984), “The Information in the Term Structure”, Journal of Financial Economics 13, pp.509–528.

Flavin, M.A. (1983), “Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence”, Journal of Political Economy Vol. 91, No. 6 pp.929–956.

Flavin, M.A. (1984), “Time Series Evidence on the Expectations Hypothesis of the Term Structure”, Carnegie-Rochester Conference Series on Public Policy Vol. 20 pp.211–239.

Friedman, B.J. (1979), “Interest Rate Expectations Versus Forward Rates: Evidence From an Expectations Survey”, Journal of Finance Vol. 34, No. 4 pp.965–973.

Hansen, L.P. and Hodrick, R.J. (1980), “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis”, Journal of Political Economy, 88, pp.829–853.

Jones, D.S. and V.V. Roley (1983), “Rational Expectations and the Expectations Model of the Term Structure: A Test Using Weekly Data”, Journal of Monetary Economics, 12 pp.453–465.

Jüttner, D.J., Madden, G.M. and R.H. Tuckwell (1975), “Time Series Analysis of the Term Structure of Australian Interest Rates”, Economic Record, March, pp. 19–30.

LeRoy, S.F. (1982), “Expectations Models of Asset Prices: A Survey of Theory”, Journal of Finance Vol. 37, No. 1 pp.185–217.

Lowe, P.W. and R.G. Trevor (1986), “The Performance of Exchange Rate Forecasts” Reserve Bank of Australia, Research Discussion Paper forthcoming.

Mankiw, N.G. and L.H. Summers (1984), “Do Long-Term Interest Rates Overreact to Short-Term Interest Rates”, Brooking Papers on Economic Activity, 1:1984 pp.223–247.

Mankiw, N.G. and J.A. Miron (1985), “The Changing Behaviour of the Term Structure of Interest Rates”, National Bureau of Economic Research Working Paper No. 1669.

Nelson, C.R. (1972), The Term Structure of Interest Rates Basic Books, New York.

Phillips, M.J. (1985) “Monetary Policy From the Inside” Reserve Bank of Australia Bulletin, November.

Sargent, T.J. (1979), “A Note on Maximum Likelihood Estimation of the Rational Expectations Model of the Term Structure”, Journal of Monetary Economics, 5 pp.133–143.

Shiller, R.J. (1979), “The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure”, Journal of Political Economy Vol. 87, No. 6 pp.1190–1219.

Shiller, R.J. (1980), “Alternative Tests of Rational Expectations Models: The Case of the Term Structure”, National Bureau of Economic Research Working Paper No. 563.

Shiller, R.J., Campbell, J.Y. and K.L. Schoenholtz, (1983), “Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates”, Brookings Papers on Economic Activity, 1:1983 pp.173–217.

Singleton, K.J. (1980), “Expectations Models of the Term Structure and Implied Variance Bounds”, Journal of Political Economy, Vol. 88, No. 6 pp.1159–1176.

Tease, W.J. (1986), “Risk Premia, Market Efficiency and the Exchange Rate: Some Evidence Since the Float”, Reserve Bank of Australia Research Discussion Paper No. 8603.

Trevor, R.G. and S.G. Donald (1986), “Exchange Rate Regimes and the Volatility of Financial Prices: the Australian Case”, Reserve Bank of Australia Research Discussion Paper, forthcoming.