The Expectations Hypothesis of the Term Structure: The Greek Interbank Market
AbstractThis paper tests the Expectations Hypothesis (EH) at the short-end of the Greek Interbank term structure. By using daily data for several maturities, we test the hypothesis that the actual yield spread is an unbiased predictor of the perfect foresight spread. Additionally, the Fully Modified OLS Estimator and the Johansen procedure are used in order to explore the dynamic comovement of yields across the term structure. The empirical findings provide evidence in favour of the EH suggesting that there are no arbitrage opportunities in the Greek Interbank market over and above a time-invariant term premium.
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Bibliographic InfoArticle provided by Camera di Commercio di Genova in its journal Economia Internazionale / International Economics.
Volume (Year): 54 (2001)
Issue (Month): 4 ()
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More information through EDIRC
Expectations Hypothesis; Interbank Market; Term Structure; Yield Spread;
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 &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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