Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market
AbstractIn 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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Bibliographic InfoPaper provided by Carleton University, Department of Economics in its series Carleton Economic Papers with number 97-06.
Length: 14 pages
Date of creation: Oct 1997
Date of revision:
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Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-08-15 (All new papers)
- NEP-ETS-2000-08-15 (Econometric Time Series)
- NEP-FMK-2000-08-15 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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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