A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka

Arusha Cooray

Applied Economics, 2003, vol. 35, issue 17, 1819-1827

Abstract: This paper tests the expectations hypothesis of the term structure of interest rates for Sri Lanka. The data support the hypothesis that forward and spot rates are cointegrated suggesting a stochastic trend in the structure of interest rates. However, the hypothesis that forward rates are unbiased predictors of future spot rates is rejected.

Date: 2003
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DOI: 10.1080/0003684032000148524

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