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The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments

Hypotéza očekávání v teorii a praxi současných úrokových instrumentů

Dusan Staniek

Český finanční a účetní časopis, 2018, vol. 2018, issue 2, 61-79

Abstract: The expectations hypothesis is one of the most natural theories that attempt to explain the relationship between short and long-term interest rates. This paper summarizes the preconditions necessary for a meaningful analysis of the expectations contained in interest rates. These preconditions are further tested on five selected interest rate products. The most appropriate candidates for both the term structure analysis and the testing of the expectations hypothesis are the quotations of interest rate swaps OIS. With certain limitations, the IRS rates and the yields of highest-rated government bonds are also applicable.

Keywords: Expectations hypothesis; Term structure; Interest rates; Hypotéza očekávání; Termínová struktura; Úrokové sazby (search for similar items in EconPapers)
JEL-codes: E43 E47 G10 (search for similar items in EconPapers)
Date: 2018
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Český finanční a účetní časopis, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3

DOI: 10.18267/j.cfuc.513

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