Hipotezy terminowej struktury stóp procentowych

• Autorzy: Maria Piotrowska

Warianty tytułu

Term Structure of Interest Rates

• Języki publikacji: PL

Abstrakty

Zaprezentowane wyniki badań empirycznych nad terminową strukturą stóp procentowych wskazują, że jest to ciągle otwarty problem, który skłania kolejnych badaczy do poszukiwań. Problem ten jest istotny zarówno w teorii, jak i w polityce monetarnej, na pewno więc będzie również w przyszłości interesującym przedmiotem badań. (fragment tekstu)

EN

The purpose of the paper is to present the different points of view on the factors influencing the term structure of interest rates. The following hypotheses were discussed: the expectation approach, the liquidity premium view of the yield curve, segmented markets argument and the preferred habitat theory. Each of the hypotheses links to different opinions on efficiency of central bank interventions in the money market. Many economists were interested in verification of the hypotheses on the yield curve. The controversial evidence which they obtained suggests the term structure of interest rates requires further studies. (original abstract)

Słowa kluczowe

PL

Krzywa dochodowości; Testowanie hipotez; Wyniki badań

EN

Yield curve; Hypothesis testing; Research results

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonomia i Międzynarodowe Stosunki Gospodarcze
• Rocznik: 1997
• Tom: 3
• Numer: nr 733
• Strony: 158--168

Twórcy

autor

Maria Piotrowska

Bibliografia

• Brick J.R., Thompson H.E.: Time series analysis of interest rates: some additional evidence. "Journal of Finance" March 1978, s. 93-103.
• Buse A.: The expectations hypothesis, yield curve and monetary policy. "Quarterly Journal of Economics" November 1965, s. 666-668.
• Campbell J.Y., Shiller R.J.: Cointegration and tests of present value models. "Journal of Political Economy" 1987 nr 96, s. 116-131.
• Campbell J.Y., Shiller R.J.: Interpreting cointegrated models. "Journal of Economic Dynamics and Control" 1988 nr 95, s. 505-522.
• Campbell J.Y., Shiller R.J.: Yield spreads and interest rate movements: a bird's eye view. "Review of Economics Studies" 1991 nr 58, s. 496-514.
• Cargill T.F., Meyer R.A.: A spectral approach to estimating the distributed lag relations between long and short term interest rates. "International Economic Review" June 1972, s. 223-238.
• Culbertson J.M.: The term structure of interest rates. "Quarterly Journal of Economics" November 1957, s. 485-517.
• Cuthbertson K.D.: The expectations hypothesis of the term strukturę: the UK Interbank Market. "Discussion Paper" 1993 No. 92-04 University of Newastle upon Tyne.
• Dobson S.W., Sutch R.C., Vanderford D.E.: An evaluation of alternative empirical models of the term structure of interest rates. "Journal of Finance" September 1976, s. 1035-1065.
• Elliott J.W., Echols M.E.: Market segmentation, speculative behaviour and the term structure of interest rates. "Review of Economics and Statistics" February 1976, s. 40-49.
• Engle R.F., Granger C.W.J.: Cointegration and error-correction: representation, estimation and testing. "Econometrica" 1987 nr 55, s. 251-276.
• Engle R.F., Lilien D.M., Robins R.P.: Estimating time varying risk premia in the term structure: the ARCH-M model. "Econometrica" 1987 nr 55, s. 391-407.
• Fand D.I.: A time series analysis of the "bills-only" theory of interest rates. "Review of Economics and Statistics" November 1966, s. 361-371.
• Fisher I.: The theory of interest. New York 1930.
• Hamburger M.J., Latta C.M.: The term structure of interest rates: some additional evidence. "Journal of Money, Credit and Banking" February 1969, s. 71-83.
• Hicks J.R.: Value and capital. Oxford University Press 1946.
• Hum A.S., Moody T., Muscatelli V.A.: The term structure of interest rates in the London Interbank Market. "Oxford Economic Papers" 1995 nr 47, s. 418-436.
• Kahn R.F.: Some notes on liquidity preference. "Manchester School Econ. and Soc.Studies" September 1954, s. 229-257.
• Kessel R.H.: The cyclical behavior of the term structure of interest rates. New York: National Bureau of Economics Research 1965.
• Keynes J.M.: Ogólna teoria zatrudnienia, procentu i pieniądza. Warszawa 1985.
• Lutz F.A.: The structure of interes rates. "Quarterly Journal of Economics" November 1940, s. 36-63.
• MacDonald R., McMillan P.: On the expectations view of the term structure, term premia and survey - based expectations. "Discussion Paper" 1992 No. 5. University of Dundee.
• MacDonald R., Speight A.E.H.: The term structure of interest rates in the UK. "Bulletin of Economic Research" 1988 nr 40, s. 287-299.
• Malkiel B.G.: The term structure of interest rates. Princeton University Press 1966.
• Meiselman D.: The term structure of interest rates. Englewood Cliffs, N.J. Prentice-Hall, 1962.
• Modigliani F., Shiller R.J.: Inflation, rational expectations and the term structure of interest rates. "Economica" February 1973, s. 12-43.
• Modigliani F., Sutch R.: Innovations in interest rate policy. "American Economic Review" May 1966, s. 178-197.
• Modigliani F., Sutch R.: A reexamination of the evidence. "Journal of Money, Credit and Banking" February 1969, s. 112-120.
• Phillips L., Pippenger J.: Prefered habitat vs. efficient market: a test of alternative hypotheses. "Federal Reserve Bank of St. Louis Review" May 1976, s. 11-19.
• Pippenger J.E.: A time series analysis of post - accord interest rates: a comment. "Journal of Finance" September 1974, s. 1320-1325.
• Robinson J.: The rate of interest. "Econometrica" January 1951, s. 92-100.
• Sargent T.J.: Anticipated inflation and nominal interest. "Quarterly Journal of Economics" May, 1982.
• Shea G.S.: Benchmarking, the expectations hypothesis of the term structure: an analysis of cointegration vectors. "Journal of Business and Economic Statistics" 1992, s. 347-265.
• Shiller R.J.: The volatility of long term interest rates and expectations of the term structure. "Journal of Political Economy" 1979 nr 87, s. 1190-1219.
• Smith V.K., Marcis R.G.: A time series analysis of post - accord interest rates. "Journal of Finance" June 1972, s. 589-605.
• Taylor M.P.: Modelling the yield curve. "Economic Journal" May 1992, s. 524-537.
• Terrell W.T., Frazer W.J.: Interest rates, portfolio behavior and marketable government securities. "Journal of Finance" March 1972, s. 1-35.
• Van Home J.: Interest - rate risk and the term structure of interest rates. "Journal of Political Economy" August 1965, s. 344-351.
• Walsh C.E.: A rational expectations model of term premia with some implications for empirical asset demand equations. "Journal of Finance" March 1985, s. 63-83.
• Wood J.H.: The expectations hypothesis the yield curve and monetary policy. "Quarterly Journal of Economics" August 1964, s. 457-470.