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| Author: | Smoluk, H. J. |
| Title: | Domestic variance and international comovement bonds tests of interest rates |
| Journal: | International Review of Financial Analysis
1999 : VOL. 8:3, p. 247-267 |
| Index terms: | Bonds Interest rates Securitization |
| Freeterms: | Variance bounds |
| Language: | eng |
| Abstract: | The article demonstrates that long rates exhibit both domestic excess variance and international excess comovement to fundamental yields derived from short rates under the rational expectations theory of term structure. The results are consistent for all countries sampled: the US, UK, Canada, Germany, and Japan. |
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