Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/211851 
Autor:innen: 
Erscheinungsjahr: 
1999
Schriftenreihe/Nr.: 
Bank of Finland Discussion Papers No. 20/1999
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983: 1996:6.Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential but unrealized regime shifts provide support for the expectations hypothesis.The peso problem is modelled by means of a threshold autoregression.The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample ??ri?d, when interest rates were at their highest.
Schlagwörter: 
peso problem
TAR models
term structure of interest rates
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
951-686-641-7
Dokumentart: 
Working Paper

Datei(en):
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