Please use this identifier to cite or link to this item: https://scholar.utcc.ac.th/handle/6626976254/3485
Title: Customer services quality; Financial institutions; Operations improvement; Quality management; Service quality; Six Sigma; Thailand
Authors: Jitmaneeroj, B. 
Wood, A. 
Keywords: Expectations hypothesis;Rational expectations;Term structure
Issue Date: 2013
Publisher: Scopus
University of the Thai Chamber of Commerce
Source: B. Jitmaneeroj, A. Wood (2013) Customer services quality; Financial institutions; Operations improvement; Quality management; Service quality; Six Sigma; Thailand. Journal of Banking and Finance Vol.37 No.3, 1084-1092.
Abstract: Recent studies of the expectations hypothesis of the term structure (EHTS) find evidence in favor of the EHTS using post 1980s US data. This has been attributed to the relative macro stability of this period and greater market efficiency. Using a panel of forecasts for 3monthinterest rates for ten countries we test separately for EHTS and rational expectations. Assuming rationalexpectations holds we find support for the EHTS is illusory due to an offsetting timevarying term premia and nonrational expectations. Previous forecastbasedstudies suggest biased expectations tend to reinforce the effect of a time varying term premium. This change can be understood in the context of Fama's (2006) argument that markets tend to underestimate future spot rates during periods of longrun increases and overestimate during declines.
URI: https://scholar.utcc.ac.th/handle/6626976254/3485
Rights: This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
Appears in Collections:RSO: Journal Articles

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