IDEAS home Printed from https://ideas.repec.org/a/oup/oxecpp/v48y1996i3p397-414.html
   My bibliography  Save this article

The Behaviour of Certificate of Deposit Rates in the UK

Author

Listed:
  • Cuthbertson, Keith
  • Hayes, Simon
  • Nitzsche, Dirk

Abstract

Using a number of maturities of up to one year and weekly high quality data on U.K. certificate of deposit rates, 1975-92, the authors provide a variety of tests of the expectations hypothesis of the term structure. Their results appear to give more support to the expectations hypothesis than do earlier studies, which often use longer maturities and data of a lower frequency on coupon paying bonds and yield data on 'bundles of bonds.' If one is willing to assume that noise traders predominate in the bond market at very short horizons, the authors can provide some insights into empirical results found in the literature. Copyright 1996 by Royal Economic Society.

Suggested Citation

  • Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1996. "The Behaviour of Certificate of Deposit Rates in the UK," Oxford Economic Papers, Oxford University Press, vol. 48(3), pages 397-414, July.
    • Handle: RePEc:oup:oxecpp:v:48:y:1996:i:3:p:397-414
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0030-7653%28199607%292%3A48%3A3%3C397%3ATBOCOD%3E2.0.CO%3B2-P&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
    2. Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
    3. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
    4. Konstantinou, Panagiotis, 2004. "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 57(3), pages 315-331.
    5. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
    6. Pawel Milobedzki, 2012. "The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 5-18.
    7. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:oxecpp:v:48:y:1996:i:3:p:397-414. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/oep .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.