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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2008-13
- Klassifikation
-
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
- Thema
-
Yield Curve
Term Structure of Interest Rates
Expectations Hypothesis
Cointegration
Common Trends
Zinsstruktur
VAR-Modell
Zinsstrukturtheorie
Theorie
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Giese, Julia V.
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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
- Giese, Julia V.
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2008
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