Burcu KIRAN, PhD Department of Econometrics Istanbul University ...

• mémoire - matière potentielle : process

Burcu KIRAN, PhD Department of Econometrics Istanbul University Turkey E-mail: THE EXPECTATĐON HYPOTHESĐS OF THE TERM STRUCTURE OF INTEREST RATES: EVĐDENCE FROM SELECTED HĐGH INCOME OECD COUNTRĐES Abstract. This paper empirically investigates the expectation hypothesis of the term structure of interest rates for selected high income OECD countries over the period from 1990:01 through 2010:04 by means of fractional cointegration approach. The results show that long term and short term interest rates for all selected countries are not fractionally cointegrated, implying unvalidity of the expectation hypothesis of the term structure.

• expectation hypothesis
• short term interest rates
• expectation hypothesis of the term structure of interest rates by means of fractional cointegration approach
• 0.030 tr
• fractional cointegration
• unit root
• unit-root
• term structure
• interest rates
• series
• test