Es. Robinson, THE TERM STRUCTURE OF AUSTRALIAN INTEREST-RATES - TESTS OF THE EXPECTATION HYPOTHESIS, Applied economics letters, 5(7), 1998, pp. 463-467
This paper studies the expectation hypothesis relating to the term str
ucture of Australian interest rates. We use monthly data on 90-day ban
k accepted bills and the 10-year Treasury bond over the period 1969-94
. The test equation follows the approach in Campbell and Shiller (1987
, 1988) and we pay careful attention to ARCH effects and problems pois
ed by overlapping data. Our results indicate that the restrictions of
the interest rate expectational hypothesis are not rejected by the dat
aset.