Testing the expectations hypothesis in eurodeposits
| dc.contributor.author | Domínguez, Emilio | |
| dc.contributor.author | Novales Cinca, Alfonso Santiago | |
| dc.date.accessioned | 2023-06-21T01:37:54Z | |
| dc.date.available | 2023-06-21T01:37:54Z | |
| dc.date.issued | 1998 | |
| dc.description.abstract | Analyzing data on Euro-rates for 1978-1996, we find consistent evidence in favor of the Expectations Hypothesis (EH) of the term structure: a) interest rates offered on deposits in a given currency form a cointegrated system, b) the restrictions of the EH on the cointegrating relationships are not rejected, except at the longer maturities, c) forward rates contain significant explanatory power on future ¡nterest rates, unbiadsedness being an acceptabIe hypothesis, which d) can lead to good interest rate forecasts, specially at the shorter maturities. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/28795 | |
| dc.identifier.relatedurl | http://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64207 | |
| dc.issue.number | 06 | |
| dc.language.iso | eng | |
| dc.page.total | 27 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Expectations hypothesis | |
| dc.subject.keyword | Term structure | |
| dc.subject.keyword | Forward rates. | |
| dc.subject.ucm | Finanzas | |
| dc.title | Testing the expectations hypothesis in eurodeposits | |
| dc.type | technical report | |
| dc.volume.number | 1998 | |
| dcterms.references | Bradley, M.G. and Lumpkin, S.A., 1992, The treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27. 449-463. Campbell, J.Y. and Shiller, R.J., 1987. Cointegration and test of present value models", Journal of Political Economy 95, 1062-1088. Campbell, J.Y. and Shiller, R.J., 1991, Yield spreads and interest rates movements: A bird's eye view, Review of Economic Studies, 58, 495-514. Chiang, T.C. and Chiang, J.J., 1995, Empirical analysis of short-term Eurocurrency fates: Evidence from a transfer function error-correction model, Journal of Economics and Business 47, 335-351. Engle, R.F. and Granger, C.W.J., 1987. Co-integration and error correction: representation, estimation and testing, Econometric, 55, 251-276. Engsted, T. and Tangaard, C., 1994, Cointegration and the US term structure, Journal of Banking and Finance, 18, 167-181. Fama, E., 1984, The information in the term structure, Journal of Financial Economics, 13,509-528. Fama, E., 1990, Term structure forecasts of interest rates, inflation and real returns, Journal of Monetary Economics, 25, 59-76. Fama, E., and Bliss, R., 1987, The information in long maturity forward rates. American Economic Review, 77, 680-692. Gerlach, S. and Smets. F., 1997, The term structure of Euro-rates: some evidence in support of the expectations hypothesis, The Journal of International Money and Finance. 16, 305-323. Hardouvelis, G., 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 25, 59-76. Johansen, S., 1988, Statistical analysis of cointegrated vectors, Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S., 1991, Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models, Econometrica, 59, 1551-1580. Jorion, P. and Mishkin, F., 1991, A multicountry comparison of term-structure forecasts at long horizons, Journal of Financial Economics, 29, 59-80. Mankiw. N. and Miron, J.A., 1986, The changing behavior of the term structure of interest rates, The Quarterly Journal of Economics, 101, 211-228. Mankiw, N. and Summers, L.H., 1984, Do long term rates overreact to short-term interest rates?, Brookings Papers on Economic Activity, 1, 223-242. Mishkin, F. 1988. The information in the term structure: Some further results, Journal of Applied Econometrics, 3, 307-314. Mougoué, M., 1992, The term structure of interest rates as a cointegrating system: empirical evidence from the eurocurrency market, The Journal of Financial Research, XV, 3, 285-296. Newey, W., and West, K., A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708. Osterwald-Lenum, M., 1992, A note with fractiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics: four cases, Oxford Bulletin of Economics and Statistics, 54, 461-472. Shiller, R.J., Campbell, J.Y., and Schoenholtz, K.L., 1983, Forward rates and future policy: interpreting the term structure of interest rates, Brookings Papers on Economic Activity, 1, 173-217. Shiller, R.J., 1990, The term structure of interest rates, in B. Friedman and F.Hahn (eds.), Handbook of Monetary Economics, North-Holland, Amsterdam. Stock, J.M. and Watson, M., 1988, Testing for common trends, Journal of the American Statistical Association, 1097-1107. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed | |
| relation.isAuthorOfPublication.latestForDiscovery | 1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed |
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