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Testing the expectations theory of the term structure for New Zealand

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  • Graeme Guthrie
  • Julian Wright
  • Jun Yu

Abstract

This paper tests the rational expectations theory of the term structure using recent daily, weekly, and monthly observations on New Zealand interest rates. We find that for many maturities we cannot reject the expectations hypothesis using both short and long versions of the theory. These results are interpreted as further evidence that the failure of the expectations hypothesis in the United States is due to the specific interest rate smoothing behaviour of the Federal Reserve.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00779959909544299
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal New Zealand Economic Papers.

Volume (Year): 33 (1999)
Issue (Month): 1 ()
Pages: 93-114

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Handle: RePEc:taf:nzecpp:v:33:y:1999:i:1:p:93-114

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Web page: http://www.tandfonline.com/RNZP20

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Cited by:
  1. Stephen Keef & Melvin Roush, 2004. "Day-of-the-week effects: New Zealand bank bills, 1985-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 859-873.
  2. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series DP2002/01, Reserve Bank of New Zealand.
  3. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.

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