Bootstrap testing of the expectations hypothesis with the term structure of interest rates

Kelvin Balcombe and Richard Tiffin ()

Applied Economics Letters, 2002, vol. 9, issue 9, 563-566

Abstract: The Expectations Hypothesis (EH) for the term structure of UK monthly interest rates is tested using Johansen's procedure. Differing results are found depending on the method of lag length selection. The application of the stationary bootstrap reconciles these results, lending support to the Expectations Hypothesis.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:9:y:2002:i:9:p:563-566

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850110108076

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().