Co-integration and the term structure of Finnish short-term interest rates
The term structure of Finnish HELIBOR interest rates is studied by modelling it as a co-integrated system. There are three co-integrating vectors among the six rates. They can be identified as the spreads between the two and one and three and one month rates, and a third vector tending to keep the yield curve linear. Co-integration analysis of partial systems suggests that it is only for the three shortest-term yields that the expectations hypothesis cannot be rejected. Recursive analysis reveals that the co-integratioll space has changed in time, which is not surprising given the changes in monetary policy regimes.
Volume (Year): 8 (1995)
Issue (Month): 1 (Spring)
|Contact details of provider:|| Web page: http://www.taloustieteellinenyhdistys.fi|
More information through EDIRC
References listed on IDEAS
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.:
- Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
- Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
When requesting a correction, please mention this item's handle: RePEc:fep:journl:v:8:y:1995:i:1:p:3-16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Editorial Secretary)
If references are entirely missing, you can add them using this form.