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dc.contributor.authorHolmes, Mark J.
dc.contributor.authorOtero, Jesús
dc.contributor.authorPanagiotidis, Theodore
dc.date.accessioned2010-12-07T20:39:04Z
dc.date.available2010-12-07T20:39:04Z
dc.date.issued2010
dc.identifier.citationHolmes, M.J., Otero, J. & Panagiotidis, T. (2010). The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies. International Review of Economics & Finance, available online 29 November 2010.en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/4854
dc.description.abstractThe validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term structures are found to be stationary and supportive of the expectations hypothesis. Further analysis suggests that international financial integration is associated with interdependencies between domestic and foreign term structures insofar as cross-term structures based on differentials between domestic (foreign) short- and foreign (domestic) long-rates are also stationary.en_NZ
dc.language.isoen
dc.publisherElsevieren_NZ
dc.subjectheterogeneous dynamic panelsen_NZ
dc.subjectterm structureen_NZ
dc.subjectmean reversionen_NZ
dc.subjectpanel stationarity testen_NZ
dc.titleThe term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economiesen_NZ
dc.typeJournal Articleen_NZ
dc.identifier.doi10.1016/j.iref.2010.11.021en_NZ
dc.relation.isPartOfInternational Review of Economics and Financeen_NZ
pubs.begin-page679en_NZ
pubs.elements-id4722
pubs.end-page689en_NZ
pubs.issue4en_NZ
pubs.volume20en_NZ


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