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Co-integration and the term structure of Finnish short-term interest rates

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  • Markku Lanne

    (University of Helsinki)

Abstract

The term structure of Finnish HELIBOR interest rates is studied by modelling it as a co-integrated system. There are three co-integrating vectors among the six rates. They can be identified as the spreads between the two and one and three and one month rates, and a third vector tending to keep the yield curve linear. Co-integration analysis of partial systems suggests that it is only for the three shortest-term yields that the expectations hypothesis cannot be rejected. Recursive analysis reveals that the co-integratioll space has changed in time, which is not surprising given the changes in monetary policy regimes.

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File URL: http://taloustieteellinenyhdistys.fi/images/stories/fep/f1995_1a.pdf
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Bibliographic Info

Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

Volume (Year): 8 (1995)
Issue (Month): 1 (Spring)
Pages: 3-16

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Handle: RePEc:fep:journl:v:8:y:1995:i:1:p:3-16

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Web page: http://www.taloustieteellinenyhdistys.fi
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  1. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
  2. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
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