Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Abstract: Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary, the expectations hypothesis fails. However, we present evidence that differences between two spreads are stationary. This suggests that the curvature of the yield curve may be a more meaningful indicator of expected future interest rates than the slope. Furthermore, we characterise level and slope by deriving the common trends inherent in the cointegrated VAR, and establish feedback patterns between them and the macroeconomy.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model ; volume:2 ; number:1 ; year:2008 ; extent:21
Economics / Journal articles. Journal articles ; 2, Heft 1 (2008) (gesamt 21)
- Creator
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Giese, Julia V.
- DOI
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10.5018/economics-ejournal.ja.2008-28
- URN
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urn:nbn:de:101:1-2412121749342.884544663661
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:27 AM CEST
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Associated
- Giese, Julia V.
Other Objects (12)
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature : Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature : Characterising the Yield Curve in a Cointegrated VAR Model
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Level-Slope-Curvature - Fact or Artefact?
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
The yield curve slope and monetary policy innovations
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Why does the yield-curve slope predict recessions?
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature : Characterising the Yield Curve in a Cointegrated VAR Model
Level, Slope, Curvature : Characterising the Yield Curve in a Cointegrated VAR Model
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Level-Slope-Curvature - Fact or Artefact?
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
The yield curve slope and monetary policy innovations
Globalisation and the Slope of the Phillips Curve