Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
AbstractIn this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1-month to 12-months, for the Brazilian market. We found evidence suggesting that for the period 1995-2001, the cointegration implication generally seems to hold. We also found strong evidence supporting causality from short to long rates and also in the opposite direction. Empirical evidence supports the expectations theory of the term structure of interest rates. However, when using multivariate cointegration tests we reject the unbiasedness hypothesis implied in the pure EH.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 30.
Date of creation: Nov 2001
Date of revision:
Publication status: Published in Revista Brasileira de Finanças, Vol. 1, no. 1, (2003).
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Web page: http://www.bcb.gov.br/?english
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"Characterising the Brazilian term structure of interest rates,"
International Journal of Monetary Economics and Finance,
Inderscience Enterprises Ltd, vol. 2(2), pages 103-114.
- Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
- Osmani Teixeira de Carvalho Guillén & Benjamin M. Tabak?, 2007. "Characterizing The Brazilian Term Structure Of Interest Rates," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
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