Are German money market rates well behav
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Keith Cuthbertson; Simon Hayes; Dirk Nitzsche
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Article
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2000
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Elsevier Science
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English
โ 260 KB
We test the expectations hypothesis (EH) of the term structure of interest rates for the German money market at the short end of the maturity spectrum using a variety of metrics, and on balance we argue that the results tend to broadly support the hypothesis. We utilise monthly data on pure discount