|Carstensen, Kai (2003): Nonstationary term premia and cointegration of the term structure. In: Economics Letters, Vol. 80, No. 3: pp. 409-413|
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.
Economics > Chairs > CESifo-Professorship for Business Cycle Analysis and Surveys (closed)
|Subjects:||300 Social sciences > 330 Economics|
|Deposited On:||15. Apr 2014 08:55|
|Last Modified:||29. Apr 2016 09:17|