The Expectations Hypothesis of the Term Structure
The UK Interbank Market
Bibliographic Data
| ID | 9720435 |
|---|---|
| Authors | Keith Cuthbertson (Newcastle University, corresponding author) |
| Year | 1996 |
| Volume | 106 |
| Issue | 436 |
| Pages | 578 |
| Publication date | 1996-05-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.2307/2235564 |
| OpenAlex | W1995398792 |
| Language | EN |
| References cited | 9 |
Using a high quality weekly data set we provide several tests of the expectations hypothesis EH, using the VAR and cointegration methodologies, for several maturities between 1-week and 12-months, for the UK interbank market. On the basis of the Johansen cointegration analysis there appears to be a 'break' in the term structure when both the six-month and twelve-month maturities are included as a pair. The latter may be due to either the presence of liquidity constraints or, market segmentation or, a time varying term premium, all of which would invalidate the assumptions underlying the EH. We provide some tentative explanations of these diverse results
Cointegration · Econometrics · Economics · Financial economics · Interbank lending market · Market liquidity · Market segmentation · Microeconomics · Monetary economics · Set (abstract data type · Term (time · Computer Science · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics 1
Testing for a unit root in time series regression
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure
Cointegration and Tests of Present Value Models
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
Statistical analysis of cointegration vectors
| Citation velocity | historical |
|---|---|
| Highly cited | No |