The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates

• Autorzy: Maria Blangiewicz , Paweł Miłobędzki

Warianty tytułu

Hipoteza oczekiwań struktury terminowej stóp procentowych LIBOR dla dolara USA

• Języki publikacji: EN

Abstrakty

EN

Using the monthly sampled data on LIBOR US dollar interest rates and maturities ranging from 1 to 12 months from 1995 to 2009 we provide with a number of tests of the expecta-tions hypothesis based on a 3-variable VAR allowing for a time-varying term premium. We find some evidence against the expectations hypothesis. The term premia appear to vary in time and the yield spread has a good predictive power, however the long rates under-react to current infor-mation about future short rates. Unexpected changes in holding period returns to large extent depend upon revisions to forecasts about future short rates and to small extent upon revisions to future term premia. (original abstract)

W artykule przedstawia się wyniki testów hipotezy oczekiwań struktury terminowej stóp LIBOR dla dolara USA opartych na 3-wymiarowym modelu VAR. Model ten oszacowano na podstawie miesięcznych szeregów czasowych stóp procentowych z lat 1995-2009 i zapadalności od 1 do 12 miesięcy. Zaleziono kilka przesłanek świadczących przeciwko tej hipotezie. Chociaż premie płynności okazały się być zmiennymi w czasie, a spredy stóp procentowych - mieć silne własności prognostyczne, niemniej stopy długie w niedostateczny sposób reagowały na bieżące informacje odnośnie do przyszłych stóp krótkich. Niespodziewane zmiany w okresowych stopach zatrzymania były w dużej mierze spowodowane rewizjami prognoz przyszłych stóp krótkich, a tylko w skromnej mierze rewizjami prognoz przyszłych premii płynności. (abstrakt oryginalny)

Słowa kluczowe

EN

Interest rate; Vector Autoregression Model (VAR); LIBOR (London Interbank Offered Rate); United States dollar (USD)

PL

Stopa procentowa; Model wektorowej autoregresji; LIBOR (London Interbank Offered Rate); Dolar amerykański (USD)

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2012
• Tom: 12
• Strony: 5--17

Twórcy

autor

Maria Blangiewicz

• University of Gdansk, Poland

autor

Paweł Miłobędzki

• University of Gdansk, Poland

Bibliografia

• Bekaert, G., Hodrick, R. J. (2001), Expectations Hypotheses Tests, Journal of Finance, 56, 1357-1394.
• Bekaert, G., Hodrick, R. J., Marshall, D. (1997), On Biases in Tests of the Expectations Hypothe-sis of the Term Structure of Interest Rates, Journal of Financial Economics, 44, 309-348.
• Blangiewicz, M., Miłobędzki, P. (2009), The Rational Expectations Hypothesis of the Term Structure at the Polish Interbank Market, Przegląd Statystyczny, 1, 23-39.
• Blangiewicz, M., Miłobędzki, P. (2010), The Term Structure of Interest Rates at the Polish Inter-bank Market. A VAR approach, in Milo W., Wdowiński P. (eds.), Forecasting Financial Markets. Theory and Applications, Wydawnictwo Uniwersytetu Łódzkiego, Łódź, 197-209.
• Bulkley, G.,Harris, R. D. F., Nawosah, V. (2011), Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates, Journal of Banking & Finance, 35, 1202-1212.
• Campbell, J. Y., Shiller, R. J. (1987), Cointegration and Tests of Present Value Models, Journal of Political Economy, 95, 1062-1088.
• Campbell, J. Y., Shiller, R. J. (1991), Yield Spreads and Interest Rates Movements: A Bird's Eye View, Review of Economic Studies, 58, 495-514.
• Cuthbertson, K. (1996), The Expectations Hypothesis of The Term Structure: The UK Interbank Market, Economic Journal, 106, 578-592.
• Cuthbertson K., Hayes S., Nitzsche D. (1996), The Behaviour of Certificate of Deposit Rates in the UK, Oxford Economic Papers, 48, 397-414.
• Cuthbertson, K., Hayes, S., Nitzsche, D. (2000), Are German Money Market Rates Well Be-haved?, Journal of Economic Dynamics & Control, 24, 347-360.
• Cuthbertson, K., Bredin, D. (2001), Risk Premia and Long Rates in Ireland, Journal of Forecast-ing, 20, 391-403.
• Cuthbertson, K., Nitzsche, D. (2003), Long Rates, Risk Premia and Over-reaction Hypothesis, Economic Modelling, 20, 417-435.
• Elliot, G., Rothenberg, T. J., Stock, J. H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, 64, 813-836.
• Engsted, T. (1996), The Predictive Power of the Money Market Term Structure, International Journal of Forecasting, 12, 289-295.
• Engsted, T., Tanggaard, C. (1995), The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure, Scandinavian Journal of Economics, 97, 145-159.
• Fisher, I. (1886), Appreciation and Interest, Publications of the American Economic Association, 11, 1-98.
• Fisher, I. (1930), The Theory of Interest, MacMillan, London.
• Garganas, E., Hall, S. G. (2011), The Small Sample Properties of Tests of the Expectations Hy-pothesis: A Monte Carlo Investigation, International Journal of Finance and Economics, 16, 152-171
• Hardouvelis, G. A. (1994), The Term Structure Spread and Future Changes in Long and Short Rates in the G7 Countries - Is There a Puzzle?, Journal of Monetary Economics, 33, 255-283.
• Hurn, A. S., Moody, T., Muscatelli, V. A. (1995), Term Structure of Interest Rates in the London Interbank Market, Oxford Economic Papers, 47, 418-436.
• King, R. G., Kurmann, A. (2002), Expectations and the Term Structure of Interest Rates: Evi-dence and Implications, Federal Reserve Bank of Richmond Quarterly, 88 (4), 49-95.
• Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., Shin, Y. (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root, Journal of Econometrics, 54, 159-178.
• Lutz, F. A. (1940), The Structure of Interest Rates, Quarterly Journal of Economics, 55, 36-63.
• Mankiw, N. G., Miron, G. (1986), The Changing Behaviour of the Term Structure of Interest Rates, Quarterly Journal of Economics, 101, 211-228.
• McCallum, B. T. (2005), Monetary Policy and the Term Structure of Interest Rates, Federal Reserve Bank of Richmond Economic Quarterly, 91, 1-21.
• Miłobędzki, P. (2010), The Term Structure of LIBOR Sterling Rates, Prace Naukowe Uniwer-sytetu Ekonomicznego we Wrocławiu, 138 (5), 88-102.
• Tzavalis, E. (2003), The Term Premium and the Puzzles of the Expectations Hypothesis of the Term Structure, Economic Modelling, 21, 73-93.
• Tzavalis, E., Wickens, M. (1998), A Re-Examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests, Inter-national Journal of Finance and Economics, 3, 229-239.

Identyfikatory

DOI

10.12775/DEM.2012.001