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Author: | Dominguez, E. Novales, A. |
Title: | Testing the expectations hypothesis in Eurodeposits |
Journal: | Journal of International Money and Finance
2000 : OCT, VOL. 19:5, p. 713-736 |
Index terms: | EXPECTATIONS FORWARD INTEREST RATES MARKET EFFICIENCY |
Language: | eng |
Abstract: | Analyzing data on Euro-rates for 1978-1998, the authors find some consistent evidence in favor of the Expectations Hypothesis (EH) of the term structure: a) interest rates offered on deposits in a given currency from a cointegrated system, b) the restrictions of the EH on the cointegrating relationships are not rejected, c) forward rates contain significant explanatory power on future interest rates, unbiasedness being an acceptable hypothesis as a cointegrating relationship between forward rates and the appropriate future value of the corresponding short term interest rate. |
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