全球智库信息集成服务系统(G2TT): The Term Structure of Interest Rates in India

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22020
来源ID	Working Paper 22020
	The Term Structure of Interest Rates in India
	Rajnish Mehra; Arunima Sinha
发表日期	2016-02-29
出版年	2016
语种	英语
摘要	We examine the term structure of interest rates in India to see if the yield curve can be rationalized based on the ‘expectations hypothesis’. Although we find evidence of predictability for holding period returns, we reject the null hypothesis that the expectations hypothesis holds for the period under consideration. Contrary to the finding in the US, the volatility of Indian bond returns is consistent with the expectations hypothesis. Returns on long-term bonds are less volatile than those of short-term bonds. The volatility puzzle documented by Shiller on US data is not observed in Indian bond returns.
主题	Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w22020
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579694
推荐引用方式 GB/T 7714	Rajnish Mehra,Arunima Sinha. The Term Structure of Interest Rates in India. 2016.