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A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka

  • Arusha Cooray

This paper tests the expectations hypothesis of the term structure of interest rates for Sri Lanka. The data support the hypothesis that forward and spot rates are cointegrated suggesting a stochastic trend in the structure of interest rates. However, the hypothesis that forward rates are unbiased predictors of future spot rates is rejected.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/0003684032000148524
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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 35 (2003)
Issue (Month): 17 ()
Pages: 1819-1827

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Handle: RePEc:taf:applec:v:35:y:2003:i:17:p:1819-1827
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  1. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
  2. Mishkin, Frederic S, 1982. " Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," Journal of Finance, American Finance Association, vol. 37(1), pages 63-72, March.
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  16. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
  17. Hardouvelis, Gikas A, 1987. " Reserves Announcements and Interest Rates: Does Monetary Policy Matter?," Journal of Finance, American Finance Association, vol. 42(2), pages 407-22, June.
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  19. Gonzalez, Jorge & Spencer, Roger & Walz, Daniel, 1999. "The information in the Mexican term structure of interest rates: capital market implications," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 149-161, April.
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