Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries
Abstract: 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
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Review of World Economics ; 145 (2009) 4 ; 757-774
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2009
- Creator
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Koukouritakis, Minoas
- DOI
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10.1007/s10290-009-0032-3
- URN
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urn:nbn:de:0168-ssoar-262293
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
15.08.2025, 7:27 AM CEST
Data provider
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Associated
- Koukouritakis, Minoas
Time of origin
- 2009
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