KONSTANTINOU, PANAGIOTIS T. - In: Emerging Markets Finance and Trade 41 (2005) 3, pp. 70-91
This paper tests the expectations hypothesis (EH) for the short end of the Polish interbank term structure. Employing daily data, the hypothesis that the actual yield spread is an unbiased predictor of the perfect foresight spread is tested. Additionally, Johansen's FIML procedure is used in...