1 option
The Term Structure of Interest Rates in India / Rajnish Mehra, Arunima Sinha.
- Format:
- Book
- Author/Creator:
- Mehra, Rajnish.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w22020.
- NBER working paper series no. w22020
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2016.
- Summary:
- We examine the term structure of interest rates in India to see if the yield curve can be rationalized based on the 'expectations hypothesis'. Although we find evidence of predictability for holding period returns, we reject the null hypothesis that the expectations hypothesis holds for the period under consideration. Contrary to the finding in the US, the volatility of Indian bond returns is consistent with the expectations hypothesis. Returns on long-term bonds are less volatile than those of short-term bonds. The volatility puzzle documented by Shiller on US data is not observed in Indian bond returns.
- Notes:
- Print version record
- February 2016.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.