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A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka

Citation

Cooray, AV, A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka, Applied Economics, 35 pp. 1819-1827. ISSN 0003-6846 (2003) [Refereed Article]

DOI: doi:10.1080/0003684032000148524

Abstract

This paper tests the expectations hypothesis of the term structure of interest rates for Sri Lanka. The data support the hypothesis that forward and spot rates are cointegrated suggesting a stochastic trend in the structure of interest rates. However, the hypothesis that forward rates are unbiased predictors of future spot rates is rejected.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Cooray, AV (Dr Arusha Cooray)
ID Code:28547
Year Published:2003
Web of Science® Times Cited:3
Deposited By:Economics and Finance
Deposited On:2003-08-01
Last Modified:2004-03-24
Downloads:0

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