The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties.term structure of interest rates; expectations hypothesis; hypothesis testing; cointegration; Portugal

The expectations hypothesis of the term structure: some empirical evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected

The expectations hypothesis of the term structure: some empirical evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected.term structure of interest rates; expectations hypothesis; hypothesis testing; cointegration; Portugal

Short and long run tests of the expectations hypothesis: the Portuguese case

The purpose of this paper is to test both short- and long-run implications of the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous (but separate) evidence for other countries. Empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. Further short-run implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties.Term structure; Expectations hypothesis; Hypothesis testing; Structural breaks; Portugal

A hipótese das expectativas e a estrutura temporal de taxas de juro : um resumo da literatura e aplicação empírica ao caso português

Mestrado em Econometria Aplicada e PrevisãoA compreensão da estrutura temporal de taxas de juro foi sempre encarada como crucial para entender o impacto da política monetária e o seu mecanismo de transmissão, para prever taxas de juro e para fornecer informação sobre as expectativas dos participantes nos mercados financeiros. Nesta dissertação, a hipótese das expectativas da estrutura temporal de taxas de juro, conjuntamente com a hipótese das expectativas racionais, será estudada e testada com taxas de juro Portuguesas. A hipótese das expectativas, que defende que a estrutura temporal observada pode ser usada para inferir sobre as expectativas dos participantes nos mercados acerca das taxas de juro futuras, tem estado na origem de uma quantidade extraordinária de análises econométricas. Serão apresentadas algumas formas alternativas de a testar (no âmbito uniequacional e multiequacional), designadamente no que se refere à análise de cointegração e à capacidade preditiva do spread (no que respeita a variações na taxa de juro da obrigação de maior maturidade ao longo do tempo de vida da obrigação de prazo mais curto e a uma média das variações da taxa de juro de curto prazo ao longo do tempo de vida do activo de maior maturidade). Os resultados obtidos suportam somente uma versão fraca da hipótese das expectativas da estrutura temporal de taxas de juro e estão de acordo com o que têm sido as principais conclusões da literatura. A evidência empírica suporta a hipótese da cointegração das taxas de juro Portuguesas, especialmente na "cauda curta", e a contradição da hipótese tão divulgada na literatura: o spread falha na previsão das taxas de juro de longo prazo futuras (direcção contrária), mas as previsões das taxas de curto prazo futuras indicam a direcção correcta.Understanding the term structure of interest rates has always been viewed as crucial to assess the impact of monetary policy and its transmission mechanism, to predict interest rates and to provide information about expectations of participants in financial markets. In this dissertation, the expectations hypothesis of the term structure of interest rates, together with the rational expectations hypothesis, will be studied and tested with Portuguese rates. The expectations hypothesis, which states that the observed term structure can be used to infer market participations' expectations about future interest rates, has been in the origin of an extraordinary amount of econometric analysis. Some of the alternative ways of testing it will be presented (in the framework of single and multiple equation models), namely cointegration analysis and forecasting ability of the spread ( in respect to the change in the yield of the longer-term bond over the life of the sorter-term bond and an average of the changes in the short-term rates over the life of the longer-term bond). The results obtained support only a weak version of the expectations hypothesis of the term structure of interest rates and are in une with the main conclusions in the literature. The empirical evidence supports the cointegration hypothesis of Portuguese rates, especially at the short end of the maturity spectrum, and the puzzle well known in the literature of the expectations hypothesis: the spread between long and short rates fails to forecast future long rates (wrong direction) although its forecasts of future short term rates are in the correct direction.info:eu-repo/semantics/publishedVersio

The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties

The expectations hypothesis of the term structure: some empirical evidence for Portugal

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous evidence for other countries. The empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. In the single equation framework, the implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected

Short and long run tests of the expectations hypothesis: the Portuguese case

The purpose of this paper is to test both short- and long-run implications of the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous (but separate) evidence for other countries. Empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. Further short-run implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties

Short and long run tests of the expectations hypothesis: the Portuguese case

The purpose of this paper is to test both short- and long-run implications of the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous (but separate) evidence for other countries. Empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. Further short-run implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties

La cultura organizacional en tiempos de pandemia por COVID-19: repercusiones en enfermeros especialistas y gestores

Objetivo: refletir sobre a cultura organizacional, em contexto de pandemia pela COVID-19, e as repercussões no exercício profissional dos enfermeiros especialistas e enfermeiros gestores. Método: estudo teórico-reflexivo, elaborado entre outubro e novembro de 2020, a partir da revisão da literatura e experiência dos autores. Resultados: perante uma adversidade, nunca antes vivida, as instituições de saúde são confrontadas com inúmeros desafios. A existência de uma cultura organizacional consistente torna-se fundamental, mostrando a dinâmica da instituição para a sociedade e o objetivo comum de todos os seus profissionais de saúde. Os enfermeiros especialistas e enfermeiros gestores desempenham um papel de destaque junto das equipes, através de estratégias de liderança e de gestão de cuidados, recorrendo à reflexão sobre a prática e à capacitação dos enfermeiros de cuidados gerais. Conclusão: os enfermeiros especialistas e gestores em contexto de pandemia poderão ser elementos promotores da cultura organizacional, garantindo a qualidade da assistência em saúde.Objective: to reflect on the organizational culture, in the context of the COVID-19 pandemic, and the repercussions on the professional practice of specialist nurses and nurse managers. Method:theoretical-reflective study, carried out between October and November 2020, based on a review of the literature and the authors’experience. Results:in the face of difficulties, never experienced before, health institutions are dealing with several challenges. Having an established organizational culture is highly relevant,showing the institution’s dynamics to society and the common objective of all its health professionals. Specialist nurses and nurse managers play a prominent role with the teams, through leadership and care management strategies, employing reflection on the practice and training of general care nurses. Conclusion: specialist nurses and nurse managers in a pandemic context may be elements that promote organizational culture, ensuring the quality of health care.info:eu-repo/semantics/publishedVersio