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

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

The 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 s...

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Autores Principales:	Holmes, Mark J., Panagiotidis, Theodore, Otero, Jesus
Formato:	Artículo (Article)
Lenguaje:	Inglés (English)
Publicado:	Elsevier Inc. 2015
Materias:	Interest rates Maturity Monetary policy Pair-wise cointegration Speed of adjustment Term structure
Acceso en línea:	https://repository.urosario.edu.co/handle/10336/22662 https://doi.org/10.1016/j.najef.2015.09.014

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recordtype	dspace
spelling	ir-10336-226622022-05-02T12:37:20Z The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach Holmes, Mark J. Panagiotidis, Theodore Otero, Jesus Interest rates Maturity Monetary policy Pair-wise cointegration Speed of adjustment Term structure The 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. 2015 2020-05-25T23:57:25Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 10629408 https://repository.urosario.edu.co/handle/10336/22662 https://doi.org/10.1016/j.najef.2015.09.014 eng info:eu-repo/semantics/openAccess application/pdf Elsevier Inc. instname:Universidad del Rosario
institution	EdocUR - Universidad del Rosario
collection	DSpace
language	Inglés (English)
topic	Interest rates Maturity Monetary policy Pair-wise cointegration Speed of adjustment Term structure
spellingShingle	Interest rates Maturity Monetary policy Pair-wise cointegration Speed of adjustment Term structure Holmes, Mark J. Panagiotidis, Theodore Otero, Jesus The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
description	The 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.
format	Artículo (Article)
author	Holmes, Mark J. Panagiotidis, Theodore Otero, Jesus
author_facet	Holmes, Mark J. Panagiotidis, Theodore Otero, Jesus
author_sort	Holmes, Mark J.
title	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
title_short	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
title_full	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
title_fullStr	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
title_full_unstemmed	The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach
title_sort	expectations hypothesis and decoupling of short- and long-term us interest rates: a pairwise approach
publisher	Elsevier Inc.
publishDate	2015
url	https://repository.urosario.edu.co/handle/10336/22662 https://doi.org/10.1016/j.najef.2015.09.014
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score	12,131701

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

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