Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis
Author: Tabak, Benjamin
Source: Applied Economics, Volume 41, Number 21, September 2009 , pp. 2681-2689(9)
Abstract: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.
Document Type: Research Article
Affiliations: Banco Central do Brasil, DEPEP, Brasilia, DF, Brazil
Publication date: September 1, 2009