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A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka
journal contribution
posted on 2023-05-16, 14:45 authored by Cooray, AVThis 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.
History
Publication title
Applied EconomicsVolume
35Pagination
1819-1827ISSN
0003-6846Department/School
TSBEPublisher
RoutledgePlace of publication
Oxford, United KingdomRepository Status
- Restricted