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Testing the expectations hypothesis in eurodeposits

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Domínguez, Emilio and Novales Cinca, Alfonso (1998) Testing the expectations hypothesis in eurodeposits. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 06, 1998, ]

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Official URL: http://eprints.ucm.es/28795/


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Abstract

Analyzing data on Euro-rates for 1978-1996, we find consistent evidence in favor of the Expectations Hypothesis (EH) of the term structure: a) interest rates offered on deposits in a given currency form a cointegrated system, b) the restrictions of the EH on the cointegrating relationships are not rejected, except at the longer maturities, c) forward rates contain significant explanatory power on future ¡nterest rates, unbiadsedness being an acceptabIe hypothesis, which d) can lead to good interest rate forecasts, specially at the shorter maturities.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Expectations hypothesis; Term structure; Forward rates.
Subjects:Social sciences > Economics > Finance
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:1998
Number:06
ID Code:28795
Deposited On:26 Feb 2015 14:53
Last Modified:26 Feb 2015 14:53

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