EconPapers    
Economics at your fingertips  
 

Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift

Markku Lanne

No 20/1999, Research Discussion Papers from Bank of Finland

Abstract: The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983: 1996:6.Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential but unrealized regime shifts provide support for the expectations hypothesis.The peso problem is modelled by means of a threshold autoregression.The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample ??ri?d, when interest rates were at their highest. Key words: peso problem, TAR models, term structure of interest rates

Date: 1999-12-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Published in Ilmestynyt myös Manchester School 71 ; 2003.

Downloads: (external link)
https://helda.helsinki.fi/bof/bitstream/123456789/7890/1/91803.pdf (application/pdf)

Related works:
Journal Article: Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift (2003) Downloads
Working Paper: TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT (2000) Downloads
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:bof:bofrdp:1999_020

Access Statistics for this paper

More papers in Research Discussion Papers from Bank of Finland Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

 
Page updated 2022-11-25
Handle: RePEc:bof:bofrdp:1999_020