Logo Logo
Hilfe
Hilfe
Switch Language to English

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

Volltext auf 'Open Access LMU' nicht verfügbar.

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.

Dokument bearbeiten Dokument bearbeiten