The expectations hypothesis, term premia, and the Canadian term structure of interest rates
Bibliographic record
Abstract
In this paper monthly data are used over the period 1960:7 to 1995:12 to examine the determinants of term premia implicit in the Canadian T‐bill term structure of interest rates. In sharp contrast to U.S. evidence, the conditional variances of Canadian macroeconomic variables are found to be insignificant predictors of term premia in the Canadian T‐bill term structure. The conditional variances of U.S. macroeconomic variables, however, are found to be important determinants of Canadian term premia. JEL Classification: E43, G1 L'hypothese des anticipations, les primes de temps et la structure temporelle des taux d'intérêt canadiens. Ce mémoire utilise des données mensuelles de juillet 1960 à décembre 1995 pour examiner les déterminants des primes de temps implicites dans la structure des taux d'intérêt pour les bons du trésor canadiens. Contrairement à ce que l'on trouve aux Etats‐Unis, il semble que les variances conditionnelles des variables macroéconomiques canadiennes ne sont pas des prédicteurs utiles de ces primes. Cependant, il appert que les variances conditonnelles des variables macroéconomiques des Etats‐Unis sont des déterminants importants de ces primes.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.000 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".