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.
- Extent
-
Seite(n): 757-774
- Language
-
Englisch
- Notes
-
Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
-
Review of World Economics, 145(4)
- Subject
-
Wirtschaft
Volkswirtschaftslehre
- Event
-
Geistige Schöpfung
- (who)
-
Koukouritakis, Minoas
- Event
-
Veröffentlichung
- (where)
-
Deutschland
- (when)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-262293
- Rights
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Koukouritakis, Minoas
Time of origin
- 2009
Other Objects (12)
Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations: Evidence from Nigeria
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Monetary policy and rejections of the expectations hypothesis
Testing the Rational Expectations Hypothesis Using Norwegian Microeconomic Data
The rational expectations hypothesis: An assessment from Popper's philosophy
Expectations of duplicate gene retention under the gene duplicability hypothesis
A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
The Uruguay Round: Expectations of developing countries
Break from the Break
Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations: Evidence from Nigeria
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Monetary policy and rejections of the expectations hypothesis
Testing the Rational Expectations Hypothesis Using Norwegian Microeconomic Data
The rational expectations hypothesis: An assessment from Popper's philosophy
Expectations of duplicate gene retention under the gene duplicability hypothesis
A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
The Uruguay Round: Expectations of developing countries
Break from the Break
Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations: Evidence from Nigeria
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Monetary policy and rejections of the expectations hypothesis
Testing the Rational Expectations Hypothesis Using Norwegian Microeconomic Data
The rational expectations hypothesis: An assessment from Popper's philosophy
Expectations of duplicate gene retention under the gene duplicability hypothesis
A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
The Uruguay Round: Expectations of developing countries