The behaviour of certificate of deposit rates in the UK

Oxford Economic Papers

Volumn 48, Issue 3, 1996, Pages 397-414

  Cuthbertson, Keith ^a,b   Hayes, Simon ^a   Nitzsche, Dirk ^a  

^a NEWCASTLE UNIVERSITY   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000884344     PISSN: 00307653     EISSN: None     Source Type: Journal    
DOI: 10.1093/oxfordjournals.oep.a028575     Document Type: Article

References (30)

1. CAMPBELL, J. Y. and SHILLER, R. J. (1987). 'Cointegration and Tests of Present Value Models', Journal of Political Economy, 95, 1062-88.
2. CAMPBELL, J. Y. and SHILLER, R. J. (1991). 'Yield Spreads and Interest Rates Movements: A Birds's Eye View', Review of Economic Studies, 58, 495-514.
3. CUTHBERTSON, K. (1996). 'The Expectations Hypothesis of the Term Structure: The UK Interbank Market', Economic Journal, 106, 578-92.
4. DELONG, J. B., SHLEIFER, A., SUMMERS, L. H., and WALDMANN, R. J. (1990). 'Noise Trader Risk in Financial Markets', Journal of Political Economy, 98, 703-38.
5. ENGSTED, T. (1994). 'The Predictive Power of the Money Market Term Structure', mimeo, Aarhus School of Business, Denmark.
6. FLOOD, R. P. and GARBER, P. M. (1990). 'Market Fundamentals versus Price-Level Bubbles: The First Tests', Journal of Political Economy, 88, 745-70.
7. FROOT, K. A. and OBSTFELD, M. (1991). 'Intrinsic Bubbles: The Case of Stock Prices', American Economic Review, 81, 1189-214.
8. GOODHART, C. A. E. (1988). 'The Foreign Exchange Market: A Random Walk with a Dragging Anchor', Economica, 55, 437-60.
9. GREGORY, A. W. and VEALL, M. R. (1985). 'Formulating Wald Tests of Nonlinear Restrictions', Econometrica, 53, 1465-68.
10. HALL, S. G. (1986). 'An Application of the Granger and Engle Two-Step Estimation Procedure to UK Aggregate Wage Data', Oxford Bulletin of Economics and Statistics, 48, 229-39.
11. HANNAN, E. J. (1970). Multiple Time Series, Wiley, New York, NY.
12. HANSEN, L. P. (1982). 'Large Sample Properties of Generalized Method of Moments Estimators', Econometrica, 50, No. 4, pp. 1029-54.
13. HANSEN, L. P. and SARGENT, T. J. (1980). 'Formulating and Estimating Dynamic Linear rational Expectations Models', Journal of Economic Dynamic and Control, 2, 7-46.
14. JOHANSEN, S. (1988). 'Statistical Analysis of Cointegration Vectors', Journal of Economic Dynamics and Control, 12, 231-54.
15. JOHANSEN, S. and JUSELIUS, K. (1990). 'Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money', Oxford Bulletin of Economics and Statistics, 52, 169-210.
16. KUGLER, P. (1988). 'An Empirical Note on the Term Structure and Interest Rate Stabilization Policies', Quarterly Journal of Economics, 103, 789-92.
17. MACDONALD, R. and SPEIGHT, A. E. H. (1991). 'The Term Structure of Interest Rates Under Rational Expectations - Some International Evidence', Applied Financial Economics, 1, 211-21.
18. MACKINNON, J. G. (1991). 'Critical Values for Cointegration Tests', Ch. 13 in R. F. Engle and C. W. J. Granger (eds), Long-run Economic Relationships: Readings in Cointegration, Oxford University Press, Oxford, 267-76.
19. MANKIW, G. N. and SUMMERS, L. H. (1984). 'Do Long-term Interest Rates Overreact to Short Term Interest Rates', Brookings Papers on Economic Activity, 1, 223-42.
20. MANKIW, N. G. and MIRON, J. A. (1986). 'The Changing Behaviour of the Term Structure Of Interest Rates', Quarterly Journal of Economics, CI, 211-28.
21. MCCULLOCH, J. H. (1990). 'US Government Term Structure Data', in B. Friedman and F. Hahn (eds), The Handbook of Monetary Economics, North Holland, Amsterdam.
22. NEWEY, W. K. and WEST, K. D. (1987). 'A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix', Econometrica, 55, 703-8.
23. PHILLIPS, P. C. B. and PERRON, P. (1988). 'Testing for a Unit Root in Time Series Regression', Biometrika, 75, 335-46.
24. SCOTT, L. O. (1991). 'Financial Market Volatility', IMF Staff Papers, 38, 347-65.
25. SHEA, G. S. (1992). 'Benchmarking the Expectations Hypothesis of the Term Structure: An Analysis of Cointegration Vectors', Journal of Business and Economic Statistics, 347-65.
26. SHILLER, R. J. (1979). 'The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure', Journal of Political Economy, 87, 1190-219.
27. SHILLER, R. J. (1989). Market Volatility, Massachusetts Institute of Technology Press, Cambridge, MA.
28. SHILLER, R. J., CAMPBELL, J. Y., and SCHOENHOLTZ, K. J. (1983). 'Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates', Brookings Papers on Economic Activity, 1, 173-217.
29. TAYLOR, M. P. (1989). 'Covered Interest Arbitrage and Market Turbulence', Economic Journal, 99, 376-91.
30. TAYLOR, M. P. (1992). 'Modelling the Yield Curve', Economic Journal, 102, 524-37.