Testing the expectations hypothesis for interest rate term structure : some Australian evidence

Fang, Victor and Lee, Vincent C. S. 2003, Testing the expectations hypothesis for interest rate term structure : some Australian evidence, Lecture notes in computer science, vol. 2669, pp. 189-198.

Attached Files
Name Description MIMEType Size Downloads

Title Testing the expectations hypothesis for interest rate term structure : some Australian evidence
Author(s) Fang, Victor
Lee, Vincent C. S.
Journal name Lecture notes in computer science
Volume number 2669
Start page 189
End page 198
Total pages 10
Publisher Springer Berlin
Place of publication Berlin, Germany
Publication date 2003
ISSN 0302-9743
1611-3349
Summary 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.
Language eng
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2003, Springer-Verlag Berlin Heidelberg
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042553

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Access Statistics: 33 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Tue, 21 Feb 2012, 10:22:28 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.