Is there a Nonlinear Mean Reversion in the Term Structure of Interest Rates at the Polish Interbank Market?

Blangiewicz, Maria; Miłobędzki, Paweł

doi:10.5848/csp.1155.00003

Cited by 2 publications

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“…(1995), Engsted (1996), Cuthbertson (1996), Cuthbertson et al (1996), Miłobędzki (2009, 2010) and Miłobędzki (2010) who analyzed the term structure of interest rates at the Danish, Polish and the UK money markets with the use of either a 2 or 3-variable VAR and thus provide with the nearest comparison to our work. The main difference revealed in their work is that of a time-invariant term premium which is consistent with the PEH (Hurn et al, 1995;Cuthbertson, 1996;Miłobędzki, 2010-for pound sterling, Engsted, 1996Blangiewicz, Miłobędzki, 2010 -for Polish zloty, for all or some maturities), and the main similarity -a strong predictive power of the yield spread (all authors except from Engsted, 1996, for Danish kroner during the period of interest rates smoothing). ∆ ( ) ( )…”

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confidence: 67%

The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates

Blangiewicz

Miłobędzki

2012

DEM

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The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates † A b s t r a c t. Using the monthly sampled data on LIBOR US dollar interest rates and maturities ranging from 1 to 12 months from 1995 to 2009 we provide with a number of tests of the expectations hypothesis based on a 3-variable VAR allowing for a time-varying term premium. We find some evidence against the expectations hypothesis. The term premia appear to vary in time and the yield spread has a good predictive power, however the long rates under-react to current information about future short rates. Unexpected changes in holding period returns to large extent depend upon revisions to forecasts about future short rates and to small extent upon revisions to future term premia.K e y w o r d s: term structure of interest rates, expectations hypothesis, term premium, LIBOR, VAR.

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