Many test results are found inconsistent with the expectations hypothesis of the term structure. The aim of this paper is to re-examine the expectations hypothesis of the term structure using the Australian interest rate data from 1969(7) to 1995(7). We start with the cointegration test on Rt, rt, and St followed by the Granger causality test from St to ∇ rt. Finally we carry out the VAR model of cross-equation restrictions test. Our findings show that there is no conclusive rejection of the expectations hypothesis of the term structure.
Field of Research
159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services
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