THE EXPECTATION HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE FROM SELECTED HIGH INCOME OECD COUNTRIES

Kiran B.

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, cilt.45, sa.4, ss.239-248, 2011 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 45 Sayı: 4
  • Basım Tarihi: 2011
  • Dergi Adı: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.239-248
  • İstanbul Üniversitesi Adresli: Evet

Özet

This paper empirically investigates the expectation hypothesis of the term structure of interest rates for selected high income OECD countries over the period from 1990:01 through 2010:04 by means of fractional cointegration approach. The results show that long term and short term interest rates for all selected countries are not fractionally cointegrated, implying unvalidity of the expectation hypothesis of the term structure.