Skip to main content

Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis

Buy Article:

$47.50 plus tax (Refund Policy)

In this article the expectations hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1 to 12 months, for the Brazilian market. We found evidence suggesting that, for the period 1995-2006, the cointegration implication generally seems to hold. We also found strong evidence supporting causality from short to long rates and also in the opposite direction. Empirical evidence supports the expectations theory of the term structure of interest rates.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Document Type: Research Article

Affiliations: Banco Central do Brasil, DEPEP, Brasilia, DF, Brazil

Publication date: 01 September 2009

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more