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dc.contributor.authorHughes Hallett, Andrew
dc.contributor.authorRichter, Christian R.
dc.date.accessioned2011-10-12T10:50:37Z
dc.date.available2011-10-12T10:50:37Z
dc.date.issued2002
dc.identifier.citationHughes Hallett, Andrew; Richter, Christain R. 'Are capital markets efficient? evidence from the term structure of interest rates in Europe'. - Economic & Social Review, Vol. 33, No. 3, Winter, 2002, pp. 333-356, Dublin: Economic & Social Research Institute
dc.identifier.issn0012-9984
dc.identifier.otherJEL E43
dc.identifier.otherJEL E47
dc.identifier.urihttp://hdl.handle.net/2262/60052
dc.descriptionPaper presented at the Sixteenth Annual Conference of the Irish Economic Association
dc.description.abstractThis paper investigates the uncovered interest parity hypothesis in an unusual way. We provide empirical evidence on the efficiency of capital markets using a time domain approach. However, a common prediction from theoretical models is that inefficient capital markets cause greater volatility of the observed time series. By using cross spectral analysis we are able to test this proposition directly. We show, in particular, how this can be done for time-varying models and time-varying spectra. We use our techniques to examine the changing stability of the relationship between British and German interest rates during and following the ERM crisis of 1992/3.en
dc.language.isoen
dc.publisherEconomic & Social Studies
dc.relation.ispartofVol.XX, No. XX, Issue, Year
dc.sourceEconomic & Social Reviewen
dc.subjectCapital marketsen
dc.subjectInterest ratesen
dc.subjectQuantitative methodsen
dc.subjectEuropeen
dc.titleAre capital markets efficient? evidence from the term structure of interest rates in Europe
dc.typeConference Paper
dc.typeJournal Article
dc.publisher.placeDublinen


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