The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates
Journal Title: Dynamic Econometric Models - Year 2012, Vol 12, Issue 1
Abstract
Using the monthly sampled data on LIBOR US dollar interest rates and maturities ranging from 1 to 12 months from 1995 to 2009 we provide with a number of tests of the expectations hypothesis based on a 3-variable VAR allowing for a time-varying term premium. We find some evidence against the expectations hypothesis. The term premia appear to vary in time and the yield spread has a good predictive power, however the long rates under-react to current information about future short rates. Unexpected changes in holding period returns to large extent depend upon revisions to forecasts about future short rates and to small extent upon revisions to future term premia.
Authors and Affiliations
Maria Blangiewicz, Paweł Miłobędzki
Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier co...
Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification
In the paper we present our initial results of an empirical verification of different methodologies of quantile forecasting used in operational management to calculate the re-order point or order-up-to level as well as t...
Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices
An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six...
The Synchronization of Regional Business Cycles with Nationwide Cycles
This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sol...
Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach
In this study, we investigated whether the observed series of fuel prices can be compatible with a specific theoretical model of strategic player interaction. Our primary interest is in determining whether a parallel pri...