Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1-month to 12-months, for the Brazilian market. We found evidence suggesting that for the period 1995-2001, the cointegration implication generally seems to hold. We also found strong evidence supporting causality from short to long rates and also in the opposite direction. Empirical evidence supports the expectations theory of the term structure of interest rates. However, when using multivariate cointegration tests we reject the unbiasedness hypothesis implied in the pure EH.
|Date of creation:||Nov 2001|
|Date of revision:|
|Publication status:||Published in Revista Brasileira de Finanças, Vol. 1, no. 1, (2003).|
|Contact details of provider:|| Web page: http://www.bcb.gov.br/?english|
When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:30. 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: (Francisco Marcos Rodrigues Figueiredo)
If references are entirely missing, you can add them using this form.