Testing the expectations theory of the term structure for New Zealand
This paper tests the rational expectations theory of the term structure using recent daily, weekly, and monthly observations on New Zealand interest rates. We find that for many maturities we cannot reject the expectations hypothesis using both short and long versions of the theory. These results are interpreted as further evidence that the failure of the expectations hypothesis in the United States is due to the specific interest rate smoothing behaviour of the Federal Reserve.
Volume (Year): 33 (1999)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RNZP20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RNZP20|
When requesting a correction, please mention this item's handle: RePEc:taf:nzecpp:v:33:y:1999:i:1:p:93-114. 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: ()
If references are entirely missing, you can add them using this form.