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- W3125181540 abstract "In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1-month to 12-months, for the Brazilian market. We found evidence suggesting that for the period 1995-2001, the cointegration implication generally seems to hold. We also found strong evidence supporting causality from short to long rates and also in the opposite direction. Empirical evidence supports the expectations theory of the term structure of interest rates. However, when using multivariate cointegration tests we reject the unbiasedness hypothesis implied in the pure EH." @default.
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- W3125181540 date "2001-11-01" @default.
- W3125181540 modified "2023-09-27" @default.
- W3125181540 title "Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates" @default.
- W3125181540 hasPublicationYear "2001" @default.
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