Rational expectations Term structure Quantitative methods Ireland Interest rates
Economic & Social Research Institute
Cuthbertson, Keith; Bredin, Don. 'The expectations hypothesis of the term structure: the case of Ireland'. - Economic & Social Review, Vol. 31, No. 3, July, 2000, pp. 267-281, Dublin: Economic & Social Research Institute
Using a number of short-term maturities and monthly data, 1984-1997, we provide a number of tests of the expectations hypothesis (EH) of the term structure. The paper draws on cointegration techniques and the methodological approach of Campbell and Shiller (1987,1991). On balance our results lend support to the EH and are broadly consistent with recent findings for the UK, but are in sharp contrast to those for the US.
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