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Bootstrap testing of the expectations hypothesis with the term structure of interest rates

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  • Kelvin Balcombe
  • Richard Tiffin

Abstract

The Expectations Hypothesis (EH) for the term structure of UK monthly interest rates is tested using Johansen's procedure. Differing results are found depending on the method of lag length selection. The application of the stationary bootstrap reconciles these results, lending support to the Expectations Hypothesis.

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  • Kelvin Balcombe & Richard Tiffin, 2002. "Bootstrap testing of the expectations hypothesis with the term structure of interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 563-566.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:9:p:563-566
    DOI: 10.1080/13504850110108076
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    References listed on IDEAS

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    Cited by:

    1. Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
    2. Shigeyuki Hamori & Naoko Hamori, 2009. "International term structure of interest rates in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1113-1116.

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