Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets
AbstractThis paper tests the Expectations Hypothesis (EH) for the short-end of the term structure for foreign currency denominated deposits in Hungary. In particular, exploiting the stochastic trends embedded in the time series the EH implications are tested in a multivariate cointegration framework. There is evidence that all sets of yields share a common stochastic trend. Furthermore, the hypothesis that the EH is an adequate description of the yields for instruments denominated in Italian Lire, is not rejected. However, the restrictions imposed by the theory on parameters of the cointegration space for the set of yields on deposits denominated in Austrian Schillings, French Francs and German Marks are rejected.
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Bibliographic InfoArticle provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.
Volume (Year): 57 (2004)
Issue (Month): 3 ()
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More information through EDIRC
Expectations Hypothesis; Yields on Foreign Currency Deposits; Johansen’s FIML; Yield Curve;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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