Predictability of the term structure of interest rates in the G7 and BRICS countries: Application of the Expectations Hypothesis
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
The predictive ability of the term structure of interest rates is tested by way of applying the expectations hypothesis in BRICS and G7 countries.The study compares the validity of the expectations hypothesis of the term structure in each country and also according to the country's respective group.An effort to assess the effect of the financial crisis on the term structures of the countries is made to check whether or not it may contribute to the expectations hypothesis not holding, thereby affecting the term structure's ability to predict future interest rate movements.The Autoregressive Distributive Lag model is employed as the cointegration method and results from the individual and the grouped countries are compared.Sample period consists of 157 monthly observations from May 2003 to May 2016 using the 90-day Treasury yield rate and the 10-year government bond.The study shows that the expectations hypothesis holds in China, India, South Africa, Canada, France and Germany, and it also provides evidence suggesting that in these countries the short term interest rate is able to predict the long term interest rate in the longrun.The results provide further evidence as suggested by the validity of the expectations hypothesis that, monetary policy is able to influence decision making in the economy through changing the short term interest rate and expectations in the market, ultimately influencing the long rate.The United Kingdom and the United States provides inconclu sive evidence of the expectations hypothesis and the predictive ability of each of the country's term structures.Brazil, Italy, Japan and Russia provide no evidence supporting the expectations hypothesis and the term structure's ability to predict future interest rate movements in the respective countries.Interest rates in these countries indicate sharp volatility during and after the financial crisis when compared to countries where the expectations hypothesis holds.The financial crisis delayed the adjustment process for the developed countries compared to the developing countries.The expectations hypothesis holds in both the pooled BRICS and G7 country groups.The short rate is able to predict the long rate in both the BRICS and G7 countries, interest rates in BRICS indicate rapid adjustment back to equilibrium in the short-run; while the adjustment is sluggish in the G7 bloc.Based on the outcome of the study, the sluggish result in the G7 gives the impression that the financial crisis had an impact on the group's term structure of interest rate as the G7 countries were directly affected by the crisis.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it