The Effect of Different Monetary Regimes on Cointegration of the Term Structure: Evidence for Germany, the Netherlands, Switzerland, and the United Kingdom

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Burns, Kevin J
economics; social sciences
thesis / dissertation description
This thesis examines monthly eurodeposit rates for the short-end of term structure as a cointegrated system of the term structure of interest rates, for Germany, the Netherlands, Switzerland, and the United Kindom during the period 1975-1990. The countries monetary regimes are examined in order to find sample periods that reflect changes in policies, in order to determine if the policies affect the cointegration results. The cointegration testing procedure of Johansen and Juselius is employed. The results found support for the expectation theory of the term structure when the countries focus on exchange rate or interest rates, and rejects the expectation theory when the focus is placed upon targeting a monetary aggregate.