Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27512
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dc.contributor.authorGiese, Julia V.en_US
dc.date.accessioned2009-08-12T07:16:59Z-
dc.date.available2009-08-12T07:16:59Z-
dc.date.issued2008en_US
dc.identifier.citation|aEconomics: The Open-Access, Open-Assessment E-Journal |v2 |h2008-28 |p1-20 |qdoi:10.5018/economics-ejournal.ja.2008-28-
dc.identifier.pidoi:10.5018/economics-ejournal.ja.2008-28-
dc.identifier.urihttp://hdl.handle.net/10419/27512-
dc.description.abstractEmpirical 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.en_US
dc.language.isoengen_US
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen_US
dc.subject.jelC32en_US
dc.subject.jelE43en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordYield curveen_US
dc.subject.keywordterm structure of interest ratesen_US
dc.subject.keywordexpectations hypothesisen_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordcommon trendsen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwUSAen_US
dc.titleLevel, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Modelen_US
dc.typeArticleen_US
dc.identifier.ppn579843696en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.en-
dc.identifier.repecRePEc:zbw:ifweej:7395-

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