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The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach

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dc.creatorHolmes, Mark J.spa
dc.creatorOtero Cardona, Jesús Gilberto
dc.creatorPanagiotidis, Theodorespa
dc.date.accessioned2020-05-25T23:57:25Z
dc.date.available2020-05-25T23:57:25Z
dc.date.created2015spa
dc.description.abstractThe link between short-term policy rates and long-term rates elucidate the potential effectiveness of monetary policy. We examine the US term structure of interest rates using a pairwise econometric approach advocated by Pesaran (2007). Our empirical modelling strategy employs a probabilistic test statistic for the expectations hypothesis of the term structure based on the percentage of unit root rejections among all interest rate differentials. We find support for the expectations hypothesis and provide new insights into the nature of interest rate decoupling which are of value to policymakers. The maturity gap associated with interest rate pairs negatively impacts on the probability of stationarity, and also on the speed of adjustment towards long-run equilibrium. We further show that the speed of adjustment has become more sensitive to the maturity gap over time. © 2015 Elsevier Inc.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1016/j.najef.2015.09.014
dc.identifier.issn10629408
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22662
dc.language.isoengspa
dc.publisherElsevier Inc.spa
dc.relation.citationEndPage313
dc.relation.citationStartPage301
dc.relation.citationTitleNorth American Journal of Economics and Finance
dc.relation.citationVolumeVol. 34
dc.relation.ispartofNorth American Journal of Economics and Finance, ISSN:10629408, Vol.34,(2015); pp. 301-313spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84945133081&doi=10.1016%2fj.najef.2015.09.014&partnerID=40&md5=c443cebd0b286d110b55f7228078f867spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordInterest ratesspa
dc.subject.keywordMaturityspa
dc.subject.keywordMonetary policyspa
dc.subject.keywordPair-wise cointegrationspa
dc.subject.keywordSpeed of adjustmentspa
dc.subject.keywordTerm structurespa
dc.titleThe expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approachspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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