Political Risk and the Expectations Hypothesis
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.
Copyright © 2008, Elsevier
Caporale, Barbara and Caporale, Tony, "Political Risk and the Expectations Hypothesis" (2008). Economics and Finance Faculty Publications. 58.