Political Risk and the Expectations HypothesisEconomics Letters
AbstractThis 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.
CopyrightCopyright © 2008, Elsevier
Citation InformationBarbara Caporale and Tony Caporale. "Political Risk and the Expectations Hypothesis" Economics Letters Vol. 100 Iss. 2 (2008)
Available at: http://works.bepress.com/tony_caporale/46/