Bootstrap testing of the expectations hypothesis with the term structure of interest rates

被引：2

作者：

Balcombe, K ^{[1
]}

Tiffin, R

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Agr & Business Management Grp, Ashford TN25 5AH, Kent, England

[2] Univ Reading, Reading RG6 2AH, Berks, England

来源：

APPLIED ECONOMICS LETTERS | 2002年 / 9卷 / 09期

关键词：

D O I：

10.1080/13504850110108076

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Expectations Hypothesis (EH) for the term structure of UK monthly interest rates is tested using Johansen's procedure. Differing results are found depending on the method of lag length selection. The application of the stationary bootstrap reconciles these results, lending support to the Expectations Hypothesis.

引用

页码：563 / 566

页数：4

共 50 条

[1] Testing the Expectations Hypothesis of the Czech term structure of interest rates
Jablonsky, Petr
[J]. MANAGING AND MODELLING OF FINANCIAL RISKS - 6TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS 1 AND 2, 2012, : 269 - 276
[2] Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis
Tabak, Benjamin
[J]. APPLIED ECONOMICS, 2009, 41 (21) : 2681 - 2689
[3] Revisiting the expectations hypothesis of the term structure of interest rates
Bulkley, George
Harris, Richard D. F.
Nawosah, Vivekanand
[J]. JOURNAL OF BANKING & FINANCE, 2011, 35 (05) : 1202 - 1212
[4] Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift
Lanne, M
[J]. MANCHESTER SCHOOL, 2003, 71 : 54 - 67
[5] The expectations hypothesis, term premia, and the Canadian term structure of interest rates
Hejazi, W
Lai, HW
Yang, X
[J]. CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2000, 33 (01): : 133 - 148
[6] On biases in tests of the expectations hypothesis of the term structure of interest rates
Bekaert, G
Hodrick, RJ
Marshall, DA
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1997, 44 (03) : 309 - 348
[7] The revival of the expectations hypothesis of the US term structure of interest rates
Hsu, C
Kugler, P
[J]. ECONOMICS LETTERS, 1997, 55 (01) : 115 - 120
[8] Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates
Chen C.Y.-H.
Chiang T.C.
[J]. Review of Quantitative Finance and Accounting, 2017, 49 (1) : 1 - 28
[9] TERM STRUCTURE OF INTEREST-RATES - TEST OF EXPECTATIONS HYPOTHESIS
CARGILL, TF
[J]. JOURNAL OF FINANCE, 1975, 30 (03): : 761 - 771
[10] Testing the Expectations Hypothesis of Interest Rate Term Structure in Kuwait
Al-Shammari, Nayef
KhalifaGhali
ReyadhFaras
Al-Salman, Abdullah
[J]. JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2010, 26 (01) : 78 - 99

← 1 2 3 4 5 →