Nonstationary term premia and cointegration of the term structure

Carstensen, Kai (2003): Nonstationary term premia and cointegration of the term structure. In: Economics Letters, Bd. 80, Nr. 3: S. 409-413

Abstract

This paper proposes a model of the term structure with nonstationary term premia which exhibit a factor structure. This explains the common empirical finding of a cointegrating rank smaller than the one predicted by the rational expectations hypothesis of the term structure. An application to German interest rate data yields easily interpretable results.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Lehrstühle > CESifo-Professur für Makroökonomie (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 330 Wirtschaft
• Sprache: Englisch