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dc.contributor.authorTillmann, Peteren_US
dc.date.accessioned2009-01-29T15:10:36Z-
dc.date.available2009-01-29T15:10:36Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/22875-
dc.description.abstractTo 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.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesBonn econ discussion papers 2003,27en_US
dc.subject.jelE52en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordterm structureen_US
dc.subject.keywordexpectations hypothesisen_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordMarkov-switchingen_US
dc.subject.keywordmonetary policyen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwKointegrationen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwVereinigte Staatenen_US
dc.subject.stwMarkov switchingen_US
dc.titleCointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn384650562en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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