The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies

Mark J. Holmes, Jesús Otero, T. Panagiotidis Theodore

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term structures are found to be stationary and supportive of the expectations hypothesis. Further analysis suggests that international financial integration is associated with interdependencies between domestic and foreign term structures insofar as cross-term structures based on differentials between domestic (foreign) short- and foreign (domestic) long-rates are also stationary.

Original languageEnglish (US)
Pages (from-to)679-689
Number of pages11
JournalInternational Review of Economics and Finance
Volume20
Issue number4
DOIs
StatePublished - Oct 2011

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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