Cointegration analysis of the expectations theory of the term structure

Article Abstract:

The expectations theory of the term structure is tested using Johansen's maximum-likelihood approach to estimation and inference on cointegration. The study begins with unit root tests on measures of the expected future spot interest rate and the forward rate. Johansen's trace and maximal eigenvalue tests were employed for a cointegration test. This methodology may also be used to study the weak form of the expectations theory.

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Information production and lending market competition

Article Abstract:

As a result of recent technological advancement, the screening technologies of lenders are changing . The joint effect of a shift from independent screening to common filters and a simultaneous increase in the intrinsic accuracy of screening is to decrease both the interest rate margin and the lending volume.

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Effects of interest rate swaps

Article Abstract:

This paper studies the use and effect of interest rate swaps and finds that they are used for hedging purposes, usually by larger and more highly levered firms.

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