Are German money market rates well behaved?

DOI10.1016/S0165-1889(99)00009-3MaRDI QIDQ1978477zbMATH OpenWikidataFDO

Authors K. Cuthbertson, Simon Hayes, D. Nitzsche

Publication date 4 June 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

interest ratesmoney marketexpectation hypothesisvariety of metrics

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Large Sample Properties of Generalized Method of Moments Estimators
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing for a unit root in time series regression
• The persistence in volatility of the US term premium 1970--1986

Cited in

(5)

• Monetary policy and long term interest rates in Germany
• Fractional integration and the volatility of UK interest rates
• Testing the expectations hypothesis using long-maturity forward rates
• TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
• Term structure of interest rates and the expectation hypothesis: The Euro area

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