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The error learning hypothesis: The evidence reexamined |
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| Authors: | Robert Jarrow |
| Affiliation: | Graduate School of Business and Public Administration, Cornell University, USA |
| Abstract: | This paper reexamines the error learning hypothesis, taking explicit account of both the measurement error in forward rates and the nonstationary of liquidity premiums. The evidence is consistent with the model, but with lower explanatory power than the previous results of Meiselman (1962) and Van Horne (1965). |
| Keywords: | Address reprint requests to Dr. Robert Jarrow Graduate School of Business and Public Administration Malott Hall Cornell University Ithaca New York 14853 USA |
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