The term structure of interest rates across frequencies

Arbeitspapier

This paper tests the expectations hypothesis (EH) of the term structure of interest rates in US data, using spectral regression techniques that allow us to consider different frequency bands. We find a positive relation between the term spread and the change in the long-term interest rate in a frequency band of 6 months to 4 years, whereas the relation is negative at higher and lower frequencies. We confirm that the variance of term premia relative to expected changes in long-term interest rates dominates at high and low frequencies, leading the EH to be rejected in those bands but not in the intermediate frequency band.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 976

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Interest Rates: Determination, Term Structure, and Effects
• Subject: Expectations theory of the term structure ; frequency domain ; Interest Rates ; spectral regression ; Zinsstruktur ; Zinsstruktur ; Zeitreihenanalyse ; Theorie ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Assenmacher-Wesche, Katrin ; Gerlach, Stefan
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/153410
• Last update: 10.03.2025, 11:44 AM CET