The expectations hypothesis of the term structure: The case of Ireland

Authors
Cuthbertson, K Bredin, D
Citation
K. Cuthbertson et D. Bredin, The expectations hypothesis of the term structure: The case of Ireland, ECON SOC R, 31(3), 2000, pp. 267-281
Citations number
37
Categorie Soggetti
Economics
Journal title
ECONOMIC AND SOCIAL REVIEW
ISSN journal
00129984 → ACNP
Volume
31
Issue
3
Year of publication
2000
Pages
267 - 281
Database
ISI
SICI code
0012-9984(200007)31:3<267:TEHOTT>2.0.ZU;2-P
Abstract
Using a number of short-term maturities and monthly data, 1984-1997, we pro vide a number of tests of the expectations hypothesis (EH) of the term stru cture. The paper draws on cointegration techniques and the methodological a pproach of Campbell and Shiller (1987, 1991). On balance our results lend s upport to the EH and are broadly consistent with recent findings for the UK , but are in sharp contrast to those for the US.