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The Expectations Hypothesis of the Term Structure: The Greek Interbank Market

Author

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  • Drakos, Kostantinos

    () (Department of Accounting and Finance Athens University of Economics and Business (AUEB))

Abstract

This paper tests the Expectations Hypothesis (EH) at the short-end of the Greek Interbank term structure. By using daily data for several maturities, we test the hypothesis that the actual yield spread is an unbiased predictor of the perfect foresight spread. Additionally, the Fully Modified OLS Estimator and the Johansen procedure are used in order to explore the dynamic comovement of yields across the term structure. The empirical findings provide evidence in favour of the EH suggesting that there are no arbitrage opportunities in the Greek Interbank market over and above a time-invariant term premium.

Suggested Citation

  • Drakos, Kostantinos, 2001. "The Expectations Hypothesis of the Term Structure: The Greek Interbank Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 54(4), pages 477-489.
  • Handle: RePEc:ris:ecoint:0203
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    Citations

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    Cited by:

    1. 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.
    2. Tronzano, Marco, 2015. "The Expectations Hypothesis of the Term Structure in Emerging Financial Markets: Some Evidence from Malaysia (1999-2015) - La struttura a termine dei tassi di interesse nei paesi emergenti: alcune evi," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(4), pages 521-550.

    More about this item

    Keywords

    Expectations Hypothesis; Interbank Market; Term Structure; Yield Spread;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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