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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alana, Luis A.en
dc.date.accessioned2010-03-10-
dc.date.accessioned2010-07-22T09:28:35Z-
dc.date.available2010-07-22T09:28:35Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x981en
dc.subject.jelC22en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordTerm structureen
dc.subject.keywordlong memoryen
dc.subject.keywordfractional integrationen
dc.subject.keywordfractional cointegrationen
dc.subject.stwZinsstrukturen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwKointegrationen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleFractional cointegration in US term spreads-
dc.type|aWorking Paperen
dc.identifier.ppn620758058en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp981en

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