The Expectations Hypothesis of the Term Structure: The Greek Interbank Market
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.
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Volume (Year): 54 (2001)
Issue (Month): 4 ()
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