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dc.contributor.authorTillmann, Peteren
dc.date.accessioned2009-01-29T15:10:36Z-
dc.date.available2009-01-29T15:10:36Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10419/22875-
dc.description.abstractTo date the cointegrating properties and the regime-switching 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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x27/2003en
dc.subject.jelE52en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordterm structureen
dc.subject.keywordexpectations hypothesisen
dc.subject.keywordcointegrationen
dc.subject.keywordMarkov-switchingen
dc.subject.keywordmonetary policyen
dc.subject.stwZinsstrukturen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwRisikoprämieen
dc.subject.stwKointegrationen
dc.subject.stwVAR-Modellen
dc.subject.stwSchätzungen
dc.subject.stwVereinigte Staatenen
dc.subject.stwMarkov switchingen
dc.titleCointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates-
dc.typeWorking Paperen
dc.identifier.ppn384650562en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:272003-

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