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January 30, 2010 | History

Testing the expectations hypothesis when interest rates are near integrated 1 edition

Testing the expectations hypothesis when interest rates are near integ ...
Meredith J. Beechey

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Testing the expectations hypothesis when interest rates are near integrated
Meredith Beechey, Erik Hjalmarsson, and Par Osterholm.

Published 2008 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
International finance discussion papers -- no. 953, International finance discussion papers (Online) -- no. 953.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23557768M
LC Control Number
2009656123

History Created December 11, 2009 · 2 revisions Download catalog record: RDF / JSON

January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page