Interpreting the Term Structure of Interbank Rates in Hong Kong

Stefan Gerlach ()

No 3187, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper studies the term structure of short-term interbank rates in Hong Kong. Principal component analysis suggests that the variation of the term structure can be largely attributed to two components that capture shifts in the level and slope of the yield curve. We find that term spreads contain no information about future short-term rates. The Expectations Hypothesis, which states that long-term rates depend on expected future short-term rates plus a constant term premium, is also soundly rejected by the data. We are, however, unable to reject a modified version of the EH that incorporates time-varying term premia.

Keywords: Term structure of interest rates; Expectations hypothesis; Hong kong (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Date: 2002-02
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Interpreting the term structure of interbank rates in Hong Kong (2003)
Working Paper: Interpreting the Term Structure of Interbank Rates in Hong Kong (2001)
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