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Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market

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Abstract

In this study we examine if the spot and forward interest rates of the Canadian Treasury bill market are cointegrated and test the bill market efficiency. The data used are monthly average yields of three- and six-month Treasury bills from July 1962 to February 1996. Both spot and forward rates are found to be I(0) and cointegrated in the Engle-Granger (1987) sense. Tests based on Hansen=s (1982) GMM method support the bill market efficiency hypothesis.

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File URL: http://www1.carleton.ca/economics/ccms/wp-content/ccms-files/cep97-06.pdf
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Paper provided by Carleton University, Department of Economics in its series Carleton Economic Papers with number 97-06.

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Length: 14 pages
Date of creation: Oct 1997
Date of revision:
Handle: RePEc:car:carecp:97-06

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Keywords: Unit roots; Common trends; Forward premium; GMM estimation;

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  1. Park, Soo-Bin, 1982. "Spot and forward rates in the Canadian treasury bill market," Journal of Financial Economics, Elsevier, vol. 10(1), pages 107-114, March.
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