Title
A Test of the International Term Structure of Interest Rates: The United States-Canadian Experience
Document Type
White Paper
Publication Date
1981
Abstract
A new theory of the term structure of interest rates for small open economies has been developed in which a small country with internationally integrated capital markets will have its domestic financial markets dominated by international influences. The international theory of the term structure of interest rates demonstrates how a foreign financial disturbance will directly affect the price and output channels. We employ univariate and multivariate time series analysis to Canada and the United States to test the imported term structure of interest rates hypothesis. We do not find evidence to support the assumption of proportionality between the countries' term structures.
Recommended Citation
Guerard, John B. Jr. and Robert Berry. 1981. "A Test of the International Term Structure of Interest Rates: The United States-Canadian Experience." Robins School of Business White Paper Series. University of Richmond, Richmond, Virginia.