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dc.contributor.authorBrüggemann, Ralfen_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.date.accessioned2005-08-23en_US
dc.date.accessioned2009-07-23T14:42:59Z-
dc.date.available2009-07-23T14:42:59Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/25048-
dc.description.abstractA system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm interest rates should also be stationary. If all four interest rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system of four interest rate series. Combining German and European Monetary Union data to obtain the euro area interest rate series we find indeed the theoretically expected three cointegration relations, in contrast to previous studies based on different data sets.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2005,035en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordExpectations hypothesis of the term structureen_US
dc.subject.keyworduncovered interest rate parityen_US
dc.subject.keywordunit rootsen_US
dc.subject.keywordcointegration analysisen_US
dc.subject.stwZinsparitäten_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwKointegrationen_US
dc.subject.stwUnit Root Testen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwUSAen_US
dc.subject.stwEU-Staatenen_US
dc.titleUncovered interest rate parity and the expectations hypothesis of the term structure: empirical results for the US and Europeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn496783092en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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