论文信息 - Testing the Expectations Hypothesis for Interest Rate Term Structure: Some Australian Evidence

Testing the Expectations Hypothesis for Interest Rate Term Structure: Some Australian Evidence

Many test results are found inconsistent with the expectations hypothesis of the term structure. The aim of this paper is to re-examine the expectations hypothesis of the term structure using the Australian interest rate data from 1969(7) to 1995(7). We start with the cointegration test on Rt, rt, and St followed by the Granger causality test from St to ∇rt. Finally we carry out the VAR model of cross-equation restrictions test. Our findings show that there is no conclusive rejection of the expectations hypothesis of the term structure.

Vincent Cheng-Siong Lee | Victor Fang

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