Show simple item record

dc.contributor.authorMuzindutsi, Paul-Francois
dc.contributor.authorMposelwa, Sinethemba
dc.date.accessioned2017-05-16T12:27:39Z
dc.date.available2017-05-16T12:27:39Z
dc.date.issued2016
dc.identifier.citationMuzindutsi, P-F. & Mposelwa, S. 2016. Testing the expectations hypothesis of the term structure of interest rates in BRICS countries: a multivariate co-integration approach. Acta Universitatis Danubius. Oeconomica, 12(4):289-304. [http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3280]
dc.identifier.issn2065-0175
dc.identifier.urihttp://journals.univ-danubius.ro/index.php/oeconomica/article/view/3280
dc.identifier.urihttp://hdl.handle.net/10394/24532
dc.description.abstractThe BRICS is a group of major emerging economies in the world which have combined financial resources to form the New Development Bank in an effort to address economic challenges faced by these countries. Thus, the flow of funds among the BRICS countries are expected to increase and this has implication on interest rates changes in these countries. Employing monthly short and long term interest rates from June 2005 to June 2015, this study used a multivariate cointegration approach to test for the validity of the expectations hypothesis (EH) of the term structure of interest rates in BRICS countries. The results of the co-integration analysis revealed that the EH only holds in three of the five countries, namely China, India, and South Africa. Short and long term interest rates for these three countries converge to the long-run equilibrium at different speed, where the convergence was found to be quick in South Africa and slow in China. This study found no evidence of EH in Brazil and Russia. Findings of this study are relevant to current developments within BRICS financial markets and provide valuable information that can be used to forecast future changes in interest rates in BRICS countries.
dc.language.isoen
dc.publisherDanubius University
dc.subjectExpectations hypothesis
dc.subjectterm structure
dc.subjectinterest rate
dc.subjectco-integration
dc.subjectBRICS
dc.titleTesting the expectations hypothesis of the term structure of interest rates in BRICS countries: a multivariate co-integration approach
dc.typeArticle
dc.contributor.researchID23248424 - Mposelwa, Sinethemba


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record