Are German money market rates well behaved?

摘要: Abstract We test the expectations hypothesis (EH) of term structure interest rates for German money market at short end maturity spectrum using a variety metrics, and on balance we argue that results tend to broadly support hypothesis. utilise monthly data pure discount bonds with from 1 12 months over period 1976 1993. The VAR methodology is used forecast future which, under EH, in set cross-equation restrictions as well tests based correspondence between best (referred 'theoretical spread') actual spread. allows explicit consideration potential non-stationarity do our cointegration literature. also perform more conventional tests, applying rational (RE) single equation framework. Our relatively favourable EH are sharp contrast those found studies US this attribute part policy sustained credible monetary targeting by Bundesbank .