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| Tekijä: | Kugler, P. Borutta, H. |
| Otsikko: | An empirical note on Euro market interest rates, domestic interest rates and the expectations theory of the term structure |
| Lehti: | Empirical Economics
1991 : VOL. 18:1, p. 95-101 |
| Asiasana: | EUROPE INTEREST RATES EXPECTANCY THEORY TERM STRUCTURE OF INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | The note presents empirical evidence concerning the interpretation of the bad performance of the expectations theory for the US interest rates. The authors analyse one- and three-month Euro interest rates for 8 currencies, using monthly data for the 80's. The analysis indicates that the expectation theory works reasonably well for most currencies analysed in this note. Some of them are characterized by a low degree of co-movement of Euro and domestic interest rates (Yen, Peseta and Lira), whereas this is not true for the others (Pound Sterling, Swedish Krone and Canadian Dollar). |
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