IDEAS home Printed from https://ideas.repec.org/a/cje/issued/v24y1991i3p595-603.html
   My bibliography  Save this article

Interest Parity, Cointegration, and the Term Structure in Canada and the United States

Author

Listed:
  • Paul Boothe

Abstract

In this paper, the author uses a simple but powerful technique to examine two models of the term structure for an open economy. Cointegration tests using two data sets for Canada and the United States support the open economy model based on uncovered interest parity as an explanation for the Canadian term structure of interest rates. Support for the generalized-present-value model is, at best, mixed. This lack of support may be attributable to low test power due to the author's smaller sample or to differences in the periods examined.

Suggested Citation

  • Paul Boothe, 1991. "Interest Parity, Cointegration, and the Term Structure in Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, vol. 24(3), pages 595-603, August.
    • Handle: RePEc:cje:issued:v:24:y:1991:i:3:p:595-603
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0008-4085%28199108%2924%3A3%3C595%3AIPCATT%3E2.0.CO%3B2-6
    Download Restriction: only available to JSTOR subscribers
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wong, Edwin & Lucia, Kathlyn & Price, Stephanie & Startz, Richard, 2011. "The changing relation between the Canadian and U.S. yield curves," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 965-981, October.
    2. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.
    3. Kuriyama Nina, 2016. "Testing cointegration in quantile regressions with an application to the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 107-121, April.
    4. Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016. "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 281-294.
    5. Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
    6. Richard Deaves, 1996. "Forecasting Canadian Short-Term Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 615-634, August.
    7. Holmes, Mark J & Pentecost, Eric J, 1997. "The Term Structure of Interest Rates and Financial Integration in the ERM," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(3), pages 237-247, July.
    8. repec:spo:wpmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    9. Antoine Bouveret, 2010. "Economic policies, long run equilibrium and exchange rate dynamics [Politiques économiques, dynamique et équilibre de long terme du taux de change]," SciencePo Working papers Main tel-04097866, HAL.
    10. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
    11. Ron Lange, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
    12. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    13. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    14. Darrat, Ali F. & Al-Mutawa, Ahmed & Benkato, Omar M., 1996. "On currency substitution and money demand instability," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 321-334.
    15. Laurence Booth & George Georgopoulos & Walid Hejazi, 2007. "What drives provincial‐Canada yield spreads?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 1008-1032, August.
    16. Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235.
    17. Seppo Pynnönen & Warren Hogan & Jonathan Batten, 2002. "Expectations and Liquidity in Yen Bond Markets," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 7(3), pages 335-354.
    18. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
    19. repec:hal:wpspec:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    20. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
    21. Ben Fung & Scott Mitnick & Eli Remolona, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
    22. repec:hal:spmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    23. Chiang, Thomas C. & Kim, Doseong, 2000. "Short-term eurocurrency rate behavior and specifications of cointegrating processes," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 157-179.

    More about this item

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Canadian Macro Study Group

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cje:issued:v:24:y:1991:i:3:p:595-603. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Prof. Werner Antweiler (email available below). General contact details of provider: https://edirc.repec.org/data/ceaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.