Browsing by Subject "Term structure"

Now showing items 1-2 of 2

    • Modelling the dynamics of the term structure of interest rates 

      Steeley, James M. (Economic & Social StudiesDublin, 1990)
      In order to provide tractable bond pricing formulae, the arbitrage theories of the term structure make specific assumptions as to the number, identity and process generating the underlying forcing variables. This paper ...

    • The expectations hypothesis of the term structure: the case of Ireland 

      Cuthbertson, Keith; Bredin, Don (Economic & Social StudiesDublin, 2000)
      Using a number of short-term maturities and monthly data, 1984-1997, we provide a number of tests of the expectations hypothesis (EH) of the term structure. The paper draws on cointegration techniques and the methodological ...