The expectations hypothesis of the term structure in the Euro area

Mariam Camarero (), Javier Ordóñez () and Cecilio Tamarit

Economics Bulletin, 2008, vol. 3, issue 3, pages 1-15

Abstract: This paper tries to ascertain whether the expectations hypothesis of the term structure of interest rates was fulfilled for the EMU countries in the period previous to its launching. To this end, we employ individual country data for the Euro area. Using pooled and panel cointegration techniques we conclude that there is an equilibrium relationship linking the long and the short-run interest rates for both the individual countries and the panel as a whole. Due to the homogeneity found in the short-long term interest rates relationship across countries, the fears raised about the use of area-wide aggregates by the ECB if not discarded need to be, at least, qualified.

Keywords: cointegration; European Monetary Union; expectations hypothesis; monetary policy; panel.; spread; term structure of interest rates (search for similar items in EconPapers)
JEL-codes: C3 F3 (search for similar items in EconPapers)
Date: 2008-01-13
View list of references

Downloads: (external link)
http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-07C30072A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ebl:ecbull:v:3:y:2008:i:3:p:1-15

Access Statistics for this article

More articles in Economics Bulletin from Economics Bulletin
Address: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
Series data maintained by John Conley ().