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On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure

In: Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models

Author

Listed:
  • Andrew Hughes Hallett
  • Christian Richter

Abstract

In this chapter, we analyze the term structure of interest rates in a novel way. We test to what extent the UK short-term interest rate is determined by the short-term US interest rate, and how much by the UK monetary instrument. In other words, we test jointly whether and to what extent the uncovered interest parity (UIP) and/or the expectations hypothesis (EH) of the term structure of interest rates holds.

Suggested Citation

  • Andrew Hughes Hallett & Christian Richter, 2011. "On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, chapter 8, pages 147-162, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29520-9_8
    DOI: 10.1057/9780230295209_8
    as

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