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Short and long run tests of the expectations hypothesis: the Portuguese case
Lopes, Silva; da, Artur C. B.; Monteiro, Olga Susana - Volkswirtschaftliche Fakultät, … - 2008
countries. Empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature …
Persistent link: https://www.econbiz.de/10005621801
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Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case
Monteiro, Olga Susana M.; Lopes, Artur C. B. da Silva - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 56 (2010) 3, pp. 257-280
countries. Empirical evidence supports the cointegration of Portuguese rates and the “puzzle” well known in the literature …
Persistent link: https://www.econbiz.de/10008784861
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - 2008
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10010295270
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-28, pp. 1-20
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10010298612
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-20
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10005082969
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - Institut für Weltwirtschaft (IfW) - 2008
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10005083365
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The Expectations Hypothesis of the Term Structure: The Greek Interbank Market
Drakos, Konstantinos - In: Economia Internazionale / International Economics 54 (2001) 4, pp. 477-489
This paper tests the Expectations Hypothesis (EH) at the short-end of the Greek Interbank term structure. By using daily data for several maturities, we test the hypothesis that the actual yield spread is an unbiased predictor of the perfect foresight spread. Additionally, the Fully Modified OLS...
Persistent link: https://www.econbiz.de/10008482029
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Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets
Konstantinou, Panagiotis - In: Economia Internazionale / International Economics 57 (2004) 3, pp. 315-331
are tested in a multivariate cointegration framework. There is evidence that all sets of yields share a common stochastic … Italian Lire, is not rejected. However, the restrictions imposed by the theory on parameters of the cointegration space for …
Persistent link: https://www.econbiz.de/10008490689
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The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal
Silva Lopes, Artur C.; Monteiro, Olga Susana - Volkswirtschaftliche Fakultät, … - 2007
cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …
Persistent link: https://www.econbiz.de/10005837523
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Cointegration and Threshold Adjustment
Enders, Walter; Siklos, Pierre L. - 2001
The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two … consider an application where we test for cointegration between long and short US interest rates. Conventional cointegration … testing (i.e., Engle-Granger, Johansen) concludes that interest rates are not cointegrated while we do find cointegration in …
Persistent link: https://www.econbiz.de/10014145753