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Testing the Expectations Hypothesis for Interest Rate Term Structure: Some Australian Evidence

  • Victor Fang
  • Vincent C. S. Lee
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 2669)

Abstract

Many test results are found inconsistent with the expectations hypothesis of the term structure. The aim of this paper is to re-examine the expectations hypothesis of the term structure using the Australian interest rate data from 1969(7) to 1995(7). We start with the cointegration test on R t, rt, and S t followed by the Granger causality test from S t to ∇ r t. Finally we carry out the VAR model of cross-equation restrictions test. Our findings show that there is no conclusive rejection of the expectations hypothesis of the term structure.

Keywords

Interest Rate Granger Causality Term Structure Granger Causality Test Short Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Victor Fang
    • 1
  • Vincent C. S. Lee
    • 2
  1. 1.Department of Accounting and Finance, Faculty of Business and EconomicsMonash UniversityMonash
  2. 2.School of Business Systems, Faculty of Information TechnologyMonash UniversityMonash

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