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The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments
[Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]

Author

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  • Dušan Staniek

Abstract

The expectations hypothesis is one of the most natural theories that attempt to explain the relationship between short and long-term interest rates. This paper summarizes the preconditions necessary for a meaningful analysis of the expectations contained in interest rates. These preconditions are further tested on five selected interest rate products. The most appropriate candidates for both the term structure analysis and the testing of the expectations hypothesis are the quotations of interest rate swaps OIS. With certain limitations, the IRS rates and the yields of highest-rated government bonds are also applicable.

Suggested Citation

  • Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    • Handle: RePEc:prg:jnlcfu:v:2018:y:2018:i:2:id:513:p:61-79
    DOI: 10.18267/j.cfuc.513
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    More about this item

    Keywords

    Expectations hypothesis; Term structure; Interest rates; Hypotéza očekávání; Termínová struktura; Úrokové sazby;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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