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dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2010-03-10en_US
dc.date.accessioned2010-07-22T09:28:35Z-
dc.date.available2010-07-22T09:28:35Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/36711-
dc.description.abstractThis note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases with maturity. Further, mean reversion occurs for the 5, 7 and 10 year rates as well as for several term spreads, suggesting that the expectation hypothesis of the term structure is satisfied empirically.en_US
dc.language.isoengen_US
dc.publisherDeutsches Institut für Wirtschaftsforschung (DIW) Berlinen_US
dc.relation.ispartofseriesDiscussion papers // German Institute for Economic Research 981en_US
dc.subject.jelC22en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordTerm structureen_US
dc.subject.keywordlong memoryen_US
dc.subject.keywordfractional integrationen_US
dc.subject.keywordfractional cointegrationen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleFractional cointegration in US term spreadsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn620758058en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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DIW-Diskussionspapiere

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