Thursday 24 April 2014, 1.00PM to 2.00pm
Speaker(s): Vanessa Gunnella (visiting PhD from Bologna)
Abstract: This paper empirically tests the Expectation Hypothesis (EH) of the term structure of the US repo rates, considered in a multivariate VAR model. The long-run implications of the EH are verified in a cointegration framework and the testing procedures are carried out by taking into account non-stationary volatility of the series through bootstrap inference and rolling windows analysis. The paper provides overall evidence in favour of the statistical non-rejection of the EH.
Location: Economics Staff Room (EC/202)
Admission: Economics Thursday Workshop. For Staff and Postgraduate students