Add to ORKGWe test the Expectations Hypothesis (EH) plus Rational Expecta-tions (RE) in the Brazilian term-structure of interest rates, using matu-rities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single-equation regressions. Our results indicate a rejection of the EH plus RE, specially at the longer maturity. This may have important implications for the rational expec-tations macro-modeling currently being used to evaluate the conduct of monetary policy in Brazil. We also show the risk premium in the yield curve are positively related to the covered interest rate differential and to the volatility of interest rates. Key Words: term structure, expectations hypothesis, risk premium
This paper tests the rational expectations theory of the term structure using recent daily, weekly, ...
This paper investigates whether or not multivariate cointegrated process with structural change can ...
This article outlines a panel data approach to modelling the term structure of interest rates in the...
In this article the expectations hypothesis (EH) is tested using cointegration techniques, for matur...
In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturit...
The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of...
The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of...
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Survey data on interest-rate expectations permit separate testing of the two alternative hypotheses ...
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This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new ...
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This paper tes ts the Expectations Hypothesis (EH) of the term structure of interest rates using new...
This paper investigates whether or not multivariate cointegrated process with structural change can ...
This paper tes ts the Expectations Hypothesis (EH) of the term structure of interest rates using new...
This paper tests the rational expectations theory of the term structure using recent daily, weekly, ...
This paper investigates whether or not multivariate cointegrated process with structural change can ...
This article outlines a panel data approach to modelling the term structure of interest rates in the...
In this article the expectations hypothesis (EH) is tested using cointegration techniques, for matur...
In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturit...
The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of...
The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of...
A b s t r a c t. Using the monthly sampled data on LIBOR US dollar interest rates and maturities ran...
Survey data on interest-rate expectations permit separate testing of the two alternative hypotheses ...
This paper investigates the informational content of the yield curve in the European market using da...
This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new ...
M Com (Economics), North-West University, Vaal Triangle CampusThe predictive ability of the term str...
This paper tes ts the Expectations Hypothesis (EH) of the term structure of interest rates using new...
This paper investigates whether or not multivariate cointegrated process with structural change can ...
This paper tes ts the Expectations Hypothesis (EH) of the term structure of interest rates using new...
This paper tests the rational expectations theory of the term structure using recent daily, weekly, ...
This paper investigates whether or not multivariate cointegrated process with structural change can ...
This article outlines a panel data approach to modelling the term structure of interest rates in the...