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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22875
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Tillmann, Peter | | en_US |
| dc.date.accessioned | | 2009-01-29T15:10:36Z | | - |
| dc.date.available | | 2009-01-29T15:10:36Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22875 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2003,27 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | term structure | | en_US |
| dc.subject.keyword | | expectations hypothesis | | en_US |
| dc.subject.keyword | | cointegration | | en_US |
| dc.subject.keyword | | Markov-switching | | en_US |
| dc.subject.keyword | | monetary policy | | en_US |
| dc.subject.stw | | Zinsstruktur | | en_US |
| dc.subject.stw | | Zinsstrukturtheorie | | en_US |
| dc.subject.stw | | Risikoprämie | | en_US |
| dc.subject.stw | | Kointegration | | en_US |
| dc.subject.stw | | VAR-Modell | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Vereinigte Staaten | | en_US |
| dc.subject.stw | | Markov switching | | en_US |
| dc.title | | Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 384650562 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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