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The Behaviour of Certificate of Deposit Rates in the UK

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  • Cuthbertson, Keith
  • Hayes, Simon
  • Nitzsche, Dirk

Abstract

Using a number of maturities of up to one year and weekly high quality data on U.K. certificate of deposit rates, 1975-92, the authors provide a variety of tests of the expectations hypothesis of the term structure. Their results appear to give more support to the expectations hypothesis than do earlier studies, which often use longer maturities and data of a lower frequency on coupon paying bonds and yield data on 'bundles of bonds.' If one is willing to assume that noise traders predominate in the bond market at very short horizons, the authors can provide some insights into empirical results found in the literature. Copyright 1996 by Royal Economic Society.

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  • Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1996. "The Behaviour of Certificate of Deposit Rates in the UK," Oxford Economic Papers, Oxford University Press, vol. 48(3), pages 397-414, July.
    • Handle: RePEc:oup:oxecpp:v:48:y:1996:i:3:p:397-414
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    1. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
    2. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
    3. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
    4. Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
    5. Pawel Milobedzki, 2012. "The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 5-18.
    6. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
    7. Konstantinou, Panagiotis, 2004. "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 57(3), pages 315-331.

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