The Expectations Hypothesis of the Term Structure: A Test Using French Government Bonds (In French)

1997 ◽  
Author(s):  
Eric Jondeau ◽  
Roland Ricart
Keyword(s):  
Term Structure ◽  
Government Bonds ◽  
Expectations Hypothesis ◽  
French Government

Expectations and Equilibrium in High-Grade Australian Bond Markets

2005 ◽  
Vol 08 (04) ◽  
pp. 573-592 ◽  
Author(s):  
Francis In ◽  
Jonathan A. Batten
Keyword(s):  
Risk Management ◽  
Term Structure ◽  
Bond Markets ◽  
High Grade ◽  
Government Bonds ◽  
Expectations Hypothesis ◽  
Long Run ◽  
Equilibrium Relationships ◽  
Canonical Cointegrating Regression

This paper examines the equilibrium implications of the Expectations Hypothesis of term structure to different maturities of high-grade Australian dollar denominated Eurobonds and Australian Government bonds (AGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Econometrica 60 (1992) 119. Our findings provide evidence only for equilibrium relationships between each group of bonds based on credit class, but not between any of the subsets of AGBs and the Eurobonds. Furthermore, the error correction model supports theory with the most liquid, long-term 10-year AGB driving the AGB term structure, with short-term yields adjusting to movements in the long-run yields, though the opposite is true for Eurobonds. The lesson for markets is to simplify the risk management task. Managers are advised to treat portfolios of equivalent credit class separately for hedging and risk management.

Sign in / Sign up

Export Citation Format

Share Document