International term structure of interest rates in the Euro area

被引：0

作者：

Hamori, Shigeyuki ^{[1
]}

Hamori, Naoko ^{[2
]}

机构：

[1] Kobe Univ, Fac Econ, Nada Ku, Kobe, Hyogo 6578501, Japan

[2] Univ Mkt & Distribut Sci, Fac Informat Sci, Kobe, Hyogo 6512188, Japan

来源：

APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 11期

基金：

日本学术振兴会;

关键词：

UNIT-ROOT TESTS; EXPECTATIONS HYPOTHESIS; TIME-SERIES; PANEL-DATA;

D O I：

10.1080/17446540802389040

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article empirically analyses the international term structure of interest rates in the Euro area over the period from 1999 to 2006. To address the small sample problem, we apply the nonstationary panel data analysis to two data sets: (1) seven countries (Belgium, Finland, France, Germany, Italy, the Netherlands and Spain) from 1999 to 2006 and (2) eight countries (Belgium, Finland, France, Germany, Greece, Italy, the Netherlands and Spain) from 2001 to 2006. Our results support the expectations theory of the term structure of interest rates.

引用

页码：1113 / 1116

页数：4

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