Arbeitspapier
Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
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.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2008-13
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
- Subject
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Yield Curve
Term Structure of Interest Rates
Expectations Hypothesis
Cointegration
Common Trends
Zinsstruktur
VAR-Modell
Zinsstrukturtheorie
Theorie
USA
- Event
-
Geistige Schöpfung
- (who)
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Giese, Julia V.
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Giese, Julia V.
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2008
Other Objects (12)
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
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
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