| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3285 |
| DP3285 Factor Models in Large Cross-Sections of Time Series | |
| Lucrezia Reichlin | |
| 发表日期 | 2002-03-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper studies the term structure of short-term interbank rates in Hong Kong. Principal component analysis suggests that the variation of the term structure can be largely attributed to two components that capture shifts in the level and slope of the yield curve. We find that term spreads contain no information about future short-term rates. The Expectations Hypothesis, which states that long-term rates depend on expected future short-term rates plus a constant term premium, is also soundly rejected by the data. We are, however, unable to reject a modified version of the EH that incorporates time-varying term premia. |
| 主题 | International Macroeconomics |
| 关键词 | Term structure of interest rates Expectations hypothesis Hong kong |
| URL | https://cepr.org/publications/dp3285 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532310 |
| 推荐引用方式 GB/T 7714 | Lucrezia Reichlin. DP3285 Factor Models in Large Cross-Sections of Time Series. 2002. |
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