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 language | English (US) |
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Pages (from-to) | 679-689 |
Number of pages | 11 |
Journal | International Review of Economics and Finance |
Volume | 20 |
Issue number | 4 |
DOIs | |
State | Published - Oct 2011 |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics