On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure

Andrew Hughes Hallett and Christian Richter

Chapter 8 in Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, 2011, pp 147-162 from Palgrave Macmillan

Abstract: Abstract In this chapter, we analyze the term structure of interest rates in a novel way. We test to what extent the UK short-term interest rate is determined by the short-term US interest rate, and how much by the UK monetary instrument. In other words, we test jointly whether and to what extent the uncovered interest parity (UIP) and/or the expectations hypothesis (EH) of the term structure of interest rates holds.

Keywords: Exchange Rate; Interest Rate; Capital Market; Forecast Error; Term Structure (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29520-9_8

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DOI: 10.1057/9780230295209_8

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