The Term Structure of Interest Rates in India

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

本研究针对印度的利率期限结构（term structure of interest rates）展开分析，旨在探究收益率曲线（yield curve）能否基于预期假说（expectations hypothesis）得到合理化阐释。尽管本研究发现了持有期收益率（holding period returns）具备可预测性的相关证据，但我们仍拒绝了该样本期内预期假说成立的原假设（null hypothesis）。