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dc.contributor.authorBrüggemann, Ralfen
dc.contributor.authorLütkepohl, Helmuten
dc.date.accessioned2005-08-23-
dc.date.accessioned2009-07-23T14:42:59Z-
dc.date.available2009-07-23T14:42:59Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2005,035en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordExpectations hypothesis of the term structureen
dc.subject.keyworduncovered interest rate parityen
dc.subject.keywordunit rootsen
dc.subject.keywordcointegration analysisen
dc.subject.stwZinsparitäten
dc.subject.stwZinsstrukturen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwKointegrationen
dc.subject.stwUnit Root Testen
dc.subject.stwSchätzungen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwUSAen
dc.subject.stwEU-Staatenen
dc.titleUncovered interest rate parity and the expectations hypothesis of the term structure: empirical results for the US and Europe-
dc.type|aWorking Paperen
dc.identifier.ppn496783092en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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