The term structure of interest rates,the expectations hypothesis and international financial integration: Evidence from Asian economies期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

The term structure of interest rates,the expectations hypothesis and international financial integration: Evidence from Asian economies

Authors:	Mark J. Holmes Jesús Otero Theodore Panagiotidis

Affiliation:	1. Department of Economics, University of Waikato, New Zealand;2. Facultad de Economía, Universidad del Rosario, Colombia;3. Department of Economics, University of Macedonia, Greece;1. University of Florence, Italy;2. LUISS University and Intesa Sanpaolo, Italy;1. Division of Applied Life Sciences, Graduate School of Agriculture, Kyoto University, Kitashirakawa-oiwakecho, Sakyo-ku, Kyoto 606-8502, Japan;2. Institute of Technology and Science, Tokushima University, 2-1 Minami-Josanjima, Tokushima 770-8506, Japan;3. Research Unit for Physiological Chemistry, Kyoto University, Kitashirakawa-oiwakecho, Sakyo-ku, Kyoto 606-8502, Japan;4. Department of Bioscience and Biotechnology, Faculty of Bioenvironmental Science, Kyoto Gakuen University, 1-1 Nanjo, Sogabe, Kameoka 621-8555, Japan;1. Department of Banking & Finance, Faculty of Business & Economics, Monash University, Clayton 3800, Australia;2. Department of Econometrics & Business Statistics, Faculty of Business & Economics, Monash University, Clayton 3800, Australia;3. School of Economics, Finance & Marketing, College of Business, RMIT University, Melbourne 3001, Australia

Abstract:	The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term structures are found to be stationary and supportive of the expectations hypothesis. Further analysis suggests that international financial integration is associated with interdependencies between domestic and foreign term structures insofar as cross-term structures based on differentials between domestic (foreign) short- and foreign (domestic) long-rates are also stationary.

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