Journal article | Zeitschriftenartikel
Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
The expectations hypothesis of the term structure of interest rates in the Czech Republic, Hungary, Poland and Slovakia, which joined the EU on May 2004, is investigated in this paper. Using VAR and cointegration techniques in the presence of structural breaks, I examine several testable implications of the theory: (i) cointegration of interest rates, (ii) spread stationarity, (iii) validity of the cross-equation restrictions implied by the theory and (iv) no excess volatility of the actual spread relative to the theoretical spread. The results support the expectations hypothesis for the Czech Republic and Hungary and reject it for Poland and Slovakia.
- Umfang
-
Seite(n): 757-774
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Review of World Economics, 145(4)
- Thema
-
Wirtschaft
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Koukouritakis, Minoas
- Ereignis
-
Veröffentlichung
- (wo)
-
Deutschland
- (wann)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-262293
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Koukouritakis, Minoas
Entstanden
- 2009
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