Term structure of interest rates and the expectation hypothesis: The euro area

2008 ◽  
Vol 185 (3) ◽  
pp. 1596-1606 ◽  
Author(s):  
Silvana Musti ◽  
Rita Laura D’Ecclesia
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Euro Area ◽  
Expectation Hypothesis

International term structure of interest rates in the Euro area

2009 ◽  
Vol 16 (11) ◽  
pp. 1113-1116
Author(s):  
Shigeyuki Hamori ◽  
Naoko Hamori
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Euro Area

scholarly journals Some Lessons from the Yield Curve

1995 ◽  
Vol 9 (3) ◽  
pp. 129-152 ◽  
Author(s):  
John Y Campbell
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Bond Market ◽  
Expectations Hypothesis ◽  
Expectation Hypothesis ◽  
Maturity Structure ◽  
Short And Long Term ◽  
The U.S

This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectation hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations hypothesis, but long rates tend to fall, which is contrary to the expectations hypothesis. The paper discusses the response of the U.S. bond market to shifts in monetary policy in the spring of 1994 and reviews the debate over the optimal maturity structure of the U.S. government debt.

scholarly journals The Term Structure of Interest Rates in the Euro Area

2003 ◽  
Vol 2003 (23) ◽  
pp. 162-184,303
Author(s):  
Yuuji KAWANO
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Euro Area

Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia

2020 ◽  
Vol 16 (1) ◽  
Author(s):  
Nizar Harrathi ◽  
Hamed M. Alhoshan
Keyword(s):  
Monetary Policy ◽  
Saudi Arabia ◽  
Interest Rates ◽  
Term Structure ◽  
Single Equation ◽  
Policy Implications ◽  
Equation Approach ◽  
Expectation Hypothesis ◽  
Short And Long Term

AbstractWe examine and test the validity of the expectation hypothesis of the term structure (EHTS) of interest rates in Saudi Arabia using the traditional single equation approach, Campbell and Shiller methodology, Error Correction Model, and monthly data over the period June 1983 to December 2014. The results of the single equation approach indicate that the test of validity of the expectation hypothesis cannot be rejected for all maturities. We also find that the validity of the EHTS of interest rates is supported through the stationarity of the term spreads between short- and long-term interest rates. Moreover, the cointegration test reveals the existence of a cointegration relationship between short- and long-term interest with $\left(1-1\right)$ cointegrating vector, suggesting the validity EHTS of interest rates. Policy implications based on the empirical results suggest that the transparency of monetary policy in Saudi Arabia and the effective role of the Saudi Arabian Monetary Authority (SAMA) in conducting monetary policy increase the predictive power of market participants of future movements of short-term interest rates.

scholarly journals REGIME CHANGES IN MONETARY POLICY AND THE EXPECTATION HYPOTHESIS OF THE TERM STRUCTURE IN TURKEY

2012 ◽  
Vol 13 (2) ◽  
pp. 261-274
Author(s):  
K. Azim Özdemir ◽  
Özgür Özel
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Inflation Targeting ◽  
Stock Exchange ◽  
Structural Instability ◽  
Data Set ◽  
Expectation Hypothesis ◽  
The Government ◽  
The Relationship

In this study we test the long-run validity of the Expectation Hypothesis of the Term Structure (EHTS) in Turkey by using monthly interest rate series from 2003m1 to 2010m1. The data set is obtained from the bonds and bills market for the government securities in the Istanbul Stock Exchange (ISE). Several results arise from our empirical analysis. First, we find strong evidence that there are stationary combinations of the long and short rates during the sample period. Secondly, when we restrict the cointegrating vectors to be the spread vectors between short and long rates we are not able to reject the restriction if the dynamic specifications of the systems include 2 lags of the interest rates. This result, however, is not robust to the lag length of 4 and 6 if the systems include interest rates with maturities longer than 6 months. Finally, the formal stability test results suggest that the regime change from the implicit to the full-fledged inflation targeting (IT) has no significant effect on the relationship among the interest rates on the short end of the term structure while the structural instability found in the relationship between the short rates and the long rates with maturity longer than 6 months might indicate the effect of the regime shift on this relationship. These results are in line with the conclusions of the literature that argues the EHTS to hold for the short end of the term structure when the focus of the monetary policy is to stabilize the short-term interest rates.

Sign in / Sign up

Export Citation Format

Share Document