The expectations theory of term structure: evidence and implication for four developed countries

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dc.contributor.authorBegum, Johura
dc.contributor.authorUniversity of Lethbridge. Faculty of Arts and Science
dc.contributor.supervisorRockerbie, Duane
dc.date.accessioned2020-10-20T20:27:07Z
dc.date.available2020-10-20T20:27:07Z
dc.date.issued2020
dc.degree.levelMastersen_US
dc.description.abstractThe Yield curve is very prominent in the economics and finance literature to analyze the behavior of households and investors towards bonds markets. In this paper we explore and test the Expectations Hypothesis (EH) of the term structure for a number of international bond markets. We use data at the short and long end maturities for the Treasury bill rate and the Government of Canada bond rate. The sample includes monthly yields for maturities ranging from 1, 3, 5-month treasury bills and 1, 5, 10 and more years for Government of Canada bonds, USA bonds, UK bonds and France bonds. We use the Engle-Granger cointegration test and OLS to estimate the spread between short and long term interest rates, including tests for serial correlation in residuals, and to test the validity of the EH. The EH is rejected in all cases.en_US
dc.identifier.urihttps://hdl.handle.net/10133/5793
dc.language.isoen_USen_US
dc.proquest.subject0501en_US
dc.proquest.subject0770en_US
dc.proquest.subject0277en_US
dc.proquestyesYesen_US
dc.publisherLethbridge, Alta. : University of Lethbridge, Department of Economicsen_US
dc.publisher.departmentDepartment of Economicsen_US
dc.publisher.facultyArts and Scienceen_US
dc.relation.ispartofseriesThesis (University of Lethbridge. Faculty of Arts and Science)en_US
dc.subjecteconomicsen_US
dc.subjectfinanceen_US
dc.subjectbankingen_US
dc.subjectexpectations theoryen_US
dc.subjectmonetary policyen_US
dc.subjectterm structureen_US
dc.subjectshort and long term interest rateen_US
dc.subjectBanks and bankingen_US
dc.subjectInterest rates -- Econometric modelsen_US
dc.subjectInterest ratesen_US
dc.subjectBond marketen_US
dc.subjectMaturity (Finance)en_US
dc.subjectBondsen_US
dc.subjectBonds -- Econometric modelsen_US
dc.subjectDissertations, Academicen_US
dc.titleThe expectations theory of term structure: evidence and implication for four developed countriesen_US
dc.typeThesisen_US
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