Testing for the Australian term structure of interest rates in the presence of structural breaks

McMahon, Peter. (2005). Testing for the Australian term structure of interest rates in the presence of structural breaks Honours Thesis, School of Economics, The University of Queensland.

       
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Author McMahon, Peter.
Thesis Title Testing for the Australian term structure of interest rates in the presence of structural breaks
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2005-01-01
Thesis type Honours Thesis
Total pages 100
Language eng
Subjects 14 Economics
Formatted abstract
This thesis is an empirical study on the expectations theory of the term structure of interest rates in Australia over the period of 1984 to 2005. We examine the order of integration of bank accepted bills and treasury bonds yields using techniques that admit a structural break under the null and/or alternative hypothesis of the unit root tests. The results from these tests are matched against idiosyncratic economic events that occurred within and outside of the Australian economy. In addition, we investigate if the cointegrating relationship implied by the expectations hypothesis of the term structure of interest rates is consistent, whether or not an allowance for a structural break is made. The results support the expectation hypothesis based on Australian interest rate data, as there is sufficient evidence to support a cointegrating relationship between short and long term rates, which is robust to the presence of structural breaks.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Tue, 30 Nov 2010, 22:23:35 EST by Muhammad Noman Ali on behalf of The University of Queensland Library