The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
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 t...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2011
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/22173
- Acceso en línea:
- https://doi.org/10.1016/j.iref.2010.11.021
https://repository.urosario.edu.co/handle/10336/22173
- Palabra clave:
- Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Term structure
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- License
- Abierto (Texto Completo)
| Summary: | 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. © 2010 Elsevier Inc. |
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