The expectations hypothesis of the term structure: the case of Ireland
Citation: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
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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.
Publisher:Economic & Social Studies
Type of material:Journal Article
Availability:Full text available