MacDonald, R. and Speight, A. E.H. (1991) The term structure of interest rates under rational expectations: some international evidence. Applied Financial Economics, 1(4), pp. 211-221. (doi: 10.1080/758522005)
Full text not currently available from Enlighten.
Abstract
A version of the efficient markets view of the term structure of interest rates is tested using a multi-country data base and a rich testing methodology. The results are somewhat mixed. Thus, for some of the countries studied (particularly the UK and US) the term structure model cannot be rejected under certain conditions, whilst for other countries the model is strongly rejected.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | MacDonald, R., and Speight, A. E.H. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Applied Financial Economics |
| Publisher: | Routledge |
| ISSN: | 0960-3107 |
| ISSN (Online): | 1466-4305 |
University Staff: Request a correction | Enlighten Editors: Update this record
Deposit and Record Details
Deposit and Record Details