The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies

Serie

  • Discussion Paper Series

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 expectation’s 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.

fecha de publicación

  • 2010-11

Enfoque geográfico

Líneas de investigación

  • Heterogeneous Dynamic Panels
  • Mean Reversion
  • Panel Stationarity Test
  • Term Structure

Issue

  • 2010_18