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- W2077654310 abstract "The Market Expectations Theory of the Term Structure of Interest Rates is tested using Wednesday yields on 13 week and 26 week treasury notes and 90 and 180 day bank accepted bills for the period 3 December 1986 to 13 March 1991 obtained from the Reserve Bank of Australia. In ordinary least squares regression based tests the Market Expectations Theory of the Term Structure of Interest Rates is accepted for bank accepted bills but rejected for treasury notes. Augmented Dickey Fuller unit root tests provide evidence of non-stationarity in the variables; a possibility often ignored in Australian studies. Although the unit root tests are generally consistent with the existence of one unit root, residual based cointegration tests between the forward rate and spot rate are not consistent with cointegration. This suggests that the prior expectations theory results may be a result of spurious regression. Perhaps a more complex model is required, coupled with tests which take account of non-stationary time series." @default.
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- W2077654310 date "1994-05-01" @default.
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- W2077654310 title "PREDICTIVE POWER OF THE TERM STRUCTURE IN AUSTRALIA IN THE LATE 1980'S: A NOTE" @default.
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- W2077654310 doi "https://doi.org/10.1111/j.1467-629x.1994.tb00261.x" @default.
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