Arbeitspapier
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift
The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983: 1996:6.Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential but unrealized regime shifts provide support for the expectations hypothesis.The peso problem is modelled by means of a threshold autoregression.The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample ??ri?d, when interest rates were at their highest.
- ISBN
-
951-686-641-7
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 20/1999
- Klassifikation
-
Wirtschaft
- Thema
-
peso problem
TAR models
term structure of interest rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lanne, Markku
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lanne, Markku
- Bank of Finland
Entstanden
- 1999
Ähnliche Objekte (12)
Monetary policy and rejections of the expectations hypothesis
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Expectations of duplicate gene retention under the gene duplicability hypothesis
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Reassessing the Demography Hypothesis: the Great Brazilian Crime Shift
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries
Monetary policy and rejections of the expectations hypothesis
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Expectations of duplicate gene retention under the gene duplicability hypothesis
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Reassessing the Demography Hypothesis: the Great Brazilian Crime Shift
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries
Monetary policy and rejections of the expectations hypothesis
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Did the renewable fuel standard shift market expectations of the price of ethanol?
Expectations of duplicate gene retention under the gene duplicability hypothesis
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure
Reassessing the Demography Hypothesis: the Great Brazilian Crime Shift
Mean-variance cointegration and the expectations hypothesis
Mean-Variance Cointegration and the Expectations Hypothesis
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates