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Testing the expectations hypothesis when interest rates are near integrated

Beechey, Meredith; Hjalmarsson, Erik; Österholm, Pär - In: Journal of banking & finance 33 (2009) 5, pp. 934-943

Persistent link: https://www.econbiz.de/10003836458

Functional cointegration test for expectation hypothesis of the term structure of interest rates in China

Fu, Yizheng; Su, Zhifang; Lin, Aihua - In: Asia Pacific financial markets 31 (2024) 4, pp. 799-820

Persistent link: https://www.econbiz.de/10015176795

The expectations hypothesis and decoupling of short- and long-term US interest rates : a pairwise approach

Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - In: The North American journal of economics and finance : a … 34 (2015), pp. 301-313

Persistent link: https://www.econbiz.de/10011540004

Does monetary policy affect the long-run expectations of non-stationary real interest rates?

Kim, Yun-Yeong - In: Applied economics 50 (2018) 12, pp. 1342-1361

Persistent link: https://www.econbiz.de/10011848373

The expectations hypothesis of the term structure of interest rates: evidence from the Fourier cointegration test

Güriş, Burak - In: Selected topics in applied econometrics, (pp. 139-147). 2019

Persistent link: https://www.econbiz.de/10012286977

Revisiting the term of interest rates: evidence from USA

Kuo, Pao-Lan; Chiu, Chien-Liang; Chang, Tsangyao; Wang, … - In: The empirical economics letters : a monthly … 18 (2019) 11, pp. 1141-1150

Persistent link: https://www.econbiz.de/10012372785

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

The impact of expectations on the co-integration relationship between the stock and REIT markets

Erol, Umit; Yüksel, Aydın; Yüksel, Aslı; Ozturk, Hakki - In: Global business & economics review 27 (2022) 1, pp. 20-42

Persistent link: https://www.econbiz.de/10013453730

Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749

Persistent link: https://www.econbiz.de/10013455611

Has the transmission of policy rates to lending rates been impaired by the Global Financial Crisis?

Gambacorta, Leonardo; Illes, Anamaria; Lombardi, Marco - 2014

Persistent link: https://www.econbiz.de/10010495635