Český finanční a účetní časopis 2018(2):61-79 | DOI: 10.18267/j.cfuc.513

The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments

Dušan Staniek
Vysoká škola ekonomická v Praze, Fakulta financí a účetnictví, katedra bankovnictví a pojišťovnictví, nám. W. Churchilla 1938/4, 130 67 Praha 3.

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.

Keywords: Expectations hypothesis; Term structure; Interest rates.
JEL classification: E43, E47, G10

Published: July 1, 2018  Show citation

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Staniek, D. (2018). The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments. Czech Financial and Accounting Journal, 2018(2), 61-79. doi: 10.18267/j.cfuc.513
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