Title

Political Risk and the Expectations Hypothesis

Document Type

Article

Publication Date

8-2008

Publication Source

Economics Letters

Abstract

This paper develops and empirically supports, using 3 and 6 month interest rates, a theory that political risk can explain the shifting term premia found in U.S. data. We find that incorporating these political regime shifts yield results that support the expectations hypothesis.

Inclusive pages

178–180

ISBN/ISSN

0165-1765

Comments

Permission documentation is on file.

Publisher

Elsevier

Volume

100

Issue

2

Peer Reviewed

yes