Testing the expectations theory of the term structure for New Zealand

Graeme Guthrie, Julian Wright and Jun Yu

New Zealand Economic Papers, 1999, vol. 33, issue 1, 93-114

Abstract: This paper tests the rational expectations theory of the term structure using recent daily, weekly, and monthly observations on New Zealand interest rates. We find that for many maturities we cannot reject the expectations hypothesis using both short and long versions of the theory. These results are interpreted as further evidence that the failure of the expectations hypothesis in the United States is due to the specific interest rate smoothing behaviour of the Federal Reserve.

Date: 1999
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DOI: 10.1080/00779959909544299

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