; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "When Unit Roots Matter: Excess Volatility and Excess Smoothness of Long Term Interest Rates"; ; "batchuser@example.com"; "Schotman, Peter C."; "Federal Reserve Bank of Minneapolis"; "E37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications", "C11 - Bayesian Analysis: General", "E47 - Money and Interest Rates: Forecasting and Simulation: Models and Applications"; "This paper reexamines volatility tests of the expectations model of the term structure of interest rates. The restrictions of the model are studied in a general multivariate MA representation of the time series process of interest rates under various assumptions on the number of unit roots and the pattern of cointegration. Test statistics are computed by Bayesian techniques. We find that the long term interest rate overreacts to transitory shocks, and underreacts to permanent shocks. "^^; "1991-06-01"; "2019-05-21T18:48:57.325838011+00:00"^^; "https://doi.org/10.21034/dp.44"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Wed Apr 22 16:43:26 2020"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "706"; "Discussion paper (Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics)"; "044"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics"; "Published in: _Journal of Empirical Finance_ (Vol. 8, No. 5, December 2001, pp. 669-694) https://doi.org/10.1016/S0927-5398(01)00040-8."^^; ; "Publication" . ; .