The expectations theory of interest rates and the European money market
نویسنده
چکیده
Keywords: Using data of short rates from the Netherlands, United Kingdom, Norway and Switzerland money market, I find predictive power in the term spread of 3-, 6-, and 12 month maturities for the future one-month interest rate. Evidence with regard to the pure expectations theory is ambiguous, the theory is generally rejected for the Netherlands, Switzerland and Norway. However for the UK market I am unable to reject the implications of the pure expectations theory.
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تاریخ انتشار 2011