Carstensen, Kai
(2003):
Nonstationary term premia and cointegration of the term structure.
In: Economics Letters, Vol. 80, No. 3: pp. 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.
| Item Type: | Journal article |
|---|---|
| Faculties: | Economics Economics > Chairs > CESifo-Professorship for Business Cycle Analysis and Surveys (closed) |
| Subjects: | 300 Social sciences > 330 Economics |
| Language: | English |
| Item ID: | 19944 |
| Date Deposited: | 15. Apr 2014 08:55 |
| Last Modified: | 04. Nov 2020 13:01 |
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