The Interest Rate Term Structure in the Greek Money Market (Journal article)

Mylonidis, N./ Nikolaidou, A.


Using monthly data on Greek money market rates, we provide several tests of the Expectations Hypothesis (EH) with constant term premia. The empirical analysis draws on cointegration techniques, perfect foresight spread (PFS) regressions and the Campbell-Shiller VAR approach. On the basis of cointegration analysis, PFS regressions and VAR approach, the results are unfavourable to the EH. Spread stationarity and weak exogeneity tests appear to support the theory. We present some tentative explanations of these results.
Institution and School/Department of submitter: Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών
URI: http://olympias.lib.uoi.gr/jspui/handle/123456789/11321
Appears in Collections:Άρθρα σε επιστημονικά περιοδικά ( Ανοικτά)

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