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首页> 外文期刊>The quarterly review of economics and finance >A test of the expectations hypothesis in very short-term international rates in the presence of preferred habitat for liquidity
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A test of the expectations hypothesis in very short-term international rates in the presence of preferred habitat for liquidity

机译：在存在流动性偏好的栖息地的情况下，以非常短期的国际汇率对期望假设进行检验

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摘要

This study incorporates year-end and quarter-end preferences for liquidity and other calendar-time effects into the test of the expectations hypothesis (EH) in the very short-term LIBOR (maturities of one month and shorter) in seven major world currencies. The calendar-time effects are found to alter long-term relations between very short-term rates in these currencies. These effects alone are not responsible for the rejection of the EH in the data, as it is rejected in most of the cases even after appropriate controls are introduced. However, such effects are capable of causing the EH to be rejected and should be controlled for when testing the EH in very short-term rates.
机译：这项研究将对流动性和其他日历时间影响的年终和季度末偏好纳入了以七种主要世界货币在非常短期的LIBOR（一个月或更短的到期日）中的预期假设（EH）的检验中。发现日历时间效应会改变这些货币的非常短期利率之间的长期关系。这些影响本身并不构成拒绝数据中EH的原因，因为在大多数情况下，即使引入了适当的控制措施也拒绝了EH。但是，这样的影响会导致EH被拒绝，因此在以非常短期的速率测试EH时应加以控制。

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