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

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

9 Citas (Scopus)

Resumen

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.

Idioma originalInglés estadounidense
Páginas (desde-hasta)679-689
Número de páginas11
PublicaciónInternational Review of Economics and Finance
Volumen20
N.º4
DOI
EstadoPublicada - oct. 2011

Áreas temáticas de ASJC Scopus

  • Finanzas
  • Economía y econometría

Huella

Profundice en los temas de investigación de 'The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies'. En conjunto forman una huella única.

Citar esto