THE BEHAVIOUR OF CERTIFICATE OF DEPOSIT RATES IN THE UK |
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Authors: | CUTHBERTSON KEITH; HAYES SIMON; NITZSCHE DIRK |
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Institution: | * Department of Economics, University of Newcastle Newcastle upon Tyne NE1 7RU, and Department of Banking and Finance, City University Business School Frobisher Cresent, Barbican Centre, London EC2Y 8HB
Department of Economics, University of Newcastle |
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Abstract: | Using a number of maturities of up to one year and weekly highquality data on UK, CD rates, 197592, we provide a varietyof tests of the expectations hypothesis (EH) of the term structure.Our results appear to give more support to the EH than do earlierstudies, which often use longer maturities and data of a lowerfrequency on coupon paying bonds and yield data on bundlesof bonds. If one is willing to assume that noise traderspredominate in the bond market at very short horizons, we canprovide some insights into empirical results, found in the literature. |
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