@techreport{Tillmann2003Cointegration,
abstract = {To date the cointegrating properties and the regimeswitching
behavior of the term structure are two separate strands of
the literature. This paper integrates these lines of research and introduces
regime shifts into a cointegrated VAR model. We argue that
the short run dynamics of the cointegrated model are likely to shift
across regimes while the equilibrium relation implied by the expectations
hypothesis of the term structure is robust to regime shifts.
A Markov-switching VECM approach for U.S. data outperforms a
linear VECM. Moreover, the regime shifts in the risk premium and
the equilibrium adjustment reflect shifts in monetary policy.},
author = {Peter Tillmann},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E52; E43; 330; term structure; expectations hypothesis; cointegration; Markov-switching; monetary policy; Zinsstruktur; Zinsstrukturtheorie; Risikopr\"{a}mie; Kointegration; VAR-Modell; Sch\"{a}tzung; Vereinigte Staaten; Markov switching},
language = {eng},
number = {2003,27},
title = {Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates},
type = {Bonn econ discussion papers},
url = {http://hdl.handle.net/10419/22875},
year = {2003}
}
