Engineering
8 years ago

Long-term interest rates in China defy market expectations, study finds.

Forecasting
Empirical Study on the Expectations Hypothesis of the Term Structure of Interest Rate
Min Xiao-ping

Paper Summary

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The study tested the idea that long-term interest rates are based on expectations of future short-term rates in China. They used a model to analyze different interest rates and found that long-term rates react too strongly to market changes, leading to a mismatch with the expectations hypothesis.