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Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries

[Zeitschriftenartikel]

Koukouritakis, Minoas

Zitationshinweis

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Abstract The expectations hypothesis of the term structure of interest rates in the Czech Republic, Hungary, Poland and Slovakia, which joined the EU on May 2004, is investigated in this paper. Using VAR and cointegration techniques in the presence of structural breaks, I examine several testable implications of the theory: (i) cointegration of interest rates, (ii) spread stationarity, (iii) validity of the cross-equation restrictions implied by the theory and (iv) no excess volatility of the actual spread relative to the theoretical spread. The results support the expectations hypothesis for the Czech Republic and Hungary and reject it for Poland and Slovakia.
Klassifikation Volkswirtschaftslehre
Freie Schlagwörter Expectations hypothesis of the term structure; Structural breaks; Two-break LM unit root test; Cointegration with breaks; Theoretical spread; E43; F15; F42
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 757-774
Zeitschriftentitel Review of World Economics, 145 (2009) 4
DOI http://dx.doi.org/10.1007/s10290-009-0032-3
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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