Arbeitspapier
Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the cointegrated model are likely to shift across regimes while the equilibrium relation implied by the expectations hypothesis of the term structure is robust to regime shifts. A Markov-switching VECM approach for U.S. data outperforms a linear VECM. Moreover, the regime shifts in the risk premium and the equilibrium adjustment reflect shifts in monetary policy.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bonn Econ Discussion Papers ; No. 27/2003
- Klassifikation
-
Wirtschaft
Monetary Policy
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
term structure
expectations hypothesis
cointegration
Markov-switching
monetary policy
Zinsstruktur
Zinsstrukturtheorie
Risikoprämie
Kointegration
VAR-Modell
Schätzung
Vereinigte Staaten
Markov switching
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tillmann, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Tillmann, Peter
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2003
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