Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets

Panagiotis Konstantinou ()
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Panagiotis Konstantinou: Dipartimento di Economia Università di Roma III, Postal: Via Ostiense 139 , I-00154 Roma , Italy, http://www.uniroma3.it/

Economia Internazionale / International Economics, 2004, vol. 57, issue 3, 315-331

Abstract: This paper tests the Expectations Hypothesis (EH) for the short-end of the term structure for foreign currency denominated deposits in Hungary. In particular, exploiting the stochastic trends embedded in the time series the EH implications are tested in a multivariate cointegration framework. There is evidence that all sets of yields share a common stochastic trend. Furthermore, the hypothesis that the EH is an adequate description of the yields for instruments denominated in Italian Lire, is not rejected. However, the restrictions imposed by the theory on parameters of the cointegration space for the set of yields on deposits denominated in Austrian Schillings, French Francs and German Marks are rejected.

Keywords: Expectations Hypothesis; Yields on Foreign Currency Deposits; Johansen’s FIML; Yield Curve (search for similar items in EconPapers)
JEL-codes: C22 C32 E43 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:ecoint:0130

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