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The expectations hypothesis of the term structure of interest rates: Evidence from the Fourier cointegration test

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dc.contributor.authorsGüriş B.
dc.date.accessioned2022-03-28T15:09:21Z
dc.date.accessioned2026-01-10T18:36:35Z
dc.date.available2022-03-28T15:09:21Z
dc.date.issued2019
dc.description.abstractThe expectation hypothesis of the term structure of interest rate implies that long term interest rates should reflect future short term changes. The main purpose of this study is to investigate the Expectations Hypothesis of term structure in France by using Fourier cointegration test. Fourier cointegration test to accommodate possible structural changes of unknown form in the deterministic term without estimation of the break dates, the number of breaks, and the form of breaks. According to the results obtained from this analysis, the expectation hypothesis of the term structure of interest rate does not hold for France. © Peter Lang AG 2019.
dc.identifier.isbn9783631795705; 9783631795712
dc.identifier.urihttps://hdl.handle.net/11424/257325
dc.language.isoeng
dc.publisherPeter Lang AG
dc.relation.ispartofSelected Topics in Applied Econometrics
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectExpectation hypothesis
dc.subjectFourier cointegration test
dc.subjectFourier stationarity test
dc.titleThe expectations hypothesis of the term structure of interest rates: Evidence from the Fourier cointegration test
dc.typebookPart
dspace.entity.typePublication
oaire.citation.endPage147
oaire.citation.startPage139
oaire.citation.titleSelected Topics in Applied Econometrics

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