The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies
Mark Holmes (),
Theodore Panagiotidis and
Jesus Otero ()
Discussion Paper Series from Department of Economics, University of Macedonia
The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term structures are found to be stationary and supportive of the expectations hypothesis. Further analysis suggests that international financial integration is associated with interdependencies between domestic and foreign term structures insofar as cross-term structures based on differentials between domestic (foreign) short- and foreign (domestic) long-rates are also stationary.
Keywords: Heterogeneous dynamic panels; term structure; mean reversion; panel stationarity test (search for similar items in EconPapers)
JEL-codes: C33 F31 F33 G15 (search for similar items in EconPapers)
Date: 2010-11, Revised 2009-11
New Economics Papers: this item is included in nep-cwa, nep-ifn, nep-mon and nep-sea
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Journal Article: The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies (2011)
Working Paper: The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2010_18
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