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Autor:innen: 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2008-13
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary, the expectations hypothesis fails. However, we present evidence that differences between two spreads are stationary. This suggests that the curvature of the yield curve may be a more meaningful indicator of expected future interest rates than the slope. Furthermore, we characterise level and slope by deriving the common trends inherent in the cointegrated VAR, and establish feedback patterns between them and the macroeconomy.
Schlagwörter: 
Yield Curve
Term Structure of Interest Rates
Expectations Hypothesis
Cointegration
Common Trends
JEL: 
E43
C32
E44
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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