Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083817 | International Review of Economics & Finance | 2011 | 11 Pages |
Abstract
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.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mark J. Holmes, Jesús Otero, Theodore Panagiotidis,