Arbeitspapier
Fractional cointegration in US term spreads
This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases with maturity. Further, mean reversion occurs for the 5, 7 and 10 year rates as well as for several term spreads, suggesting that the expectation hypothesis of the term structure is satisfied empirically.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 981
- Klassifikation
-
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
- Thema
-
Term structure
long memory
fractional integration
fractional cointegration
Zinsstruktur
Öffentliche Anleihe
Kointegration
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Gil-Alana, Luis A.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2010
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