Bootstrap testing of the expectations hypothesis with the term structure of interest rates
AbstractThe 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 9 (2002)
Issue (Month): 9 ()
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- 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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