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A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka

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This paper tests the expectations hypothesis of the term structure of interest rates for Sri Lanka. The data support the hypothesis that forward and spot rates are cointegrated suggesting a stochastic trend in the structure of interest rates. However, the hypothesis that forward rates are unbiased predictors of future spot rates is rejected.
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Document Type: Research Article

Affiliations: Department of Economics, University of Tasmania, Hobart 7001, Australia, Email: arusha.cooray@utas.edu.au

Publication date: 2003-11-20

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