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...

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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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spelling 0360066a-2374-47c1-a721-fe350edc881479242814600c0cb2f12-1946-4af8-b0bf-a2de497345c32020-05-25T23:55:41Z2020-05-25T23:55:41Z2011The 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.application/pdfhttps://doi.org/10.1016/j.iref.2010.11.02110590560https://repository.urosario.edu.co/handle/10336/22173eng689No. 4679International Review of Economics and FinanceVol. 20International Review of Economics and Finance, ISSN:10590560, Vol.20, No.4 (2011); pp. 679-689https://www.scopus.com/inward/record.uri?eid=2-s2.0-79957536999&doi=10.1016%2fj.iref.2010.11.021&partnerID=40&md5=8656e0724ec5f4f6f61de376210f7819Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURHeterogeneous dynamic panelsMean reversionPanel stationarity testTerm structureThe term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economiesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Holmes M.J.Otero Cardona, Jesús GilbertoPanagiotidis Theodore T.ORIGINAL1-s2-0-S1059056010001309-main.pdfapplication/pdf235440https://repository.urosario.edu.co/bitstreams/096a10a4-851d-40c3-9653-c56cd33ab92d/download994fb957a5fe720a182adc446bbee369MD51TEXT1-s2-0-S1059056010001309-main.pdf.txt1-s2-0-S1059056010001309-main.pdf.txtExtracted texttext/plain54441https://repository.urosario.edu.co/bitstreams/6b551346-d982-43de-8c0e-325568d69fcd/download515f883a1703be21e7c8c18de4e8c073MD52THUMBNAIL1-s2-0-S1059056010001309-main.pdf.jpg1-s2-0-S1059056010001309-main.pdf.jpgGenerated Thumbnailimage/jpeg3987https://repository.urosario.edu.co/bitstreams/6318c4ea-1f84-452b-9a43-ff60eea247db/download20aa46ee5379bcdc10e2583fee3be7d6MD5310336/22173oai:repository.urosario.edu.co:10336/221732022-05-02 07:37:16.911792https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
title The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
spellingShingle The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Term structure
title_short The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
title_full The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
title_fullStr The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
title_full_unstemmed The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
title_sort The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
dc.subject.keyword.spa.fl_str_mv Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Term structure
topic Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Term structure
description 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.
publishDate 2011
dc.date.created.spa.fl_str_mv 2011
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:55:41Z
dc.date.available.none.fl_str_mv 2020-05-25T23:55:41Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
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dc.identifier.issn.none.fl_str_mv 10590560
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/22173
url https://doi.org/10.1016/j.iref.2010.11.021
https://repository.urosario.edu.co/handle/10336/22173
identifier_str_mv 10590560
dc.language.iso.spa.fl_str_mv eng
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dc.relation.citationIssue.none.fl_str_mv No. 4
dc.relation.citationStartPage.none.fl_str_mv 679
dc.relation.citationTitle.none.fl_str_mv International Review of Economics and Finance
dc.relation.citationVolume.none.fl_str_mv Vol. 20
dc.relation.ispartof.spa.fl_str_mv International Review of Economics and Finance, ISSN:10590560, Vol.20, No.4 (2011); pp. 679-689
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-79957536999&doi=10.1016%2fj.iref.2010.11.021&partnerID=40&md5=8656e0724ec5f4f6f61de376210f7819
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