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Un constraste alternativo de la hipótesis de las expectativas en swaps de tipos de interés
Pilar Abad Romero |
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In this paper we analyze the expectations hypothesis (HE) in the term structure obtained using information on interest rate swaps nominated in Deutsche mark, US dollar and Japanese yen. We provide evidence on the rejection of the HE restrictions on the cointegrating relationships. Further we propose a new framework on which to test the HE by distinguishing between the implications on the permanent - common and the transitory - specific components of the interest rates that form the term structure. In this new context, we then find consistent evidence in favour of the HE.
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