The Expectations Hypothesis of the Term Structure - The Case of Ireland

Keith Cuthbertson and Don Bredin
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Keith Cuthbertson: Management School, Imperial College London

The Economic and Social Review, 2000, vol. 31, issue 3, 267-281

Abstract: Using a number of short-term maturities and monthly data, 1984-1997, we provide a number of tests of the expectations hypothesis (EH) of the term structure. The paper draws on cointegration techniques and the methodological approach of Campbell and Shiller (1987,1991). On balance our results lend support to the EH and are broadly consistent with recent findings for the UK, but are in sharp contrast to those for the US.

Date: 2000
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http://www.esr.ie/vol31_3/5Cuthbert.pdf First version, 2000 (application/pdf)

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Working Paper: The Expectations Hypothesis of the Term Structure: The Case of Ireland (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eso:journl:v:31:y:2000:i:3:p:267-281

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