Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024
bridging the gap between the term structure of expectations and the term structure of interest rates. Not only is the EH …Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest … rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work …