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dc.contributor.authorGiese, Julia V.en
dc.date.accessioned2009-08-12T07:16:59Z-
dc.date.available2009-08-12T07:16:59Z-
dc.date.issued2008-
dc.identifier.citation|aEconomics: The Open-Access, Open-Assessment E-Journal|c1864-6042|v2|h2008-28|nKiel Institute for the World Economy (IfW)|lKiel|y2008|p1-20en
dc.identifier.pidoi:10.5018/economics-ejournal.ja.2008-28en
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.subject.jelC32en
dc.subject.jelE43en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordYield curveen
dc.subject.keywordterm structure of interest ratesen
dc.subject.keywordexpectations hypothesisen
dc.subject.keywordcointegrationen
dc.subject.keywordcommon trendsen
dc.subject.stwZinsstrukturen
dc.subject.stwVAR-Modellen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwTheorieen
dc.subject.stwUSAen
dc.titleLevel, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model-
dc.typeArticleen
dc.identifier.ppn579843696en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifweej:7395en
econstor.citation.journaltitleEconomics: The Open-Access, Open-Assessment E-Journalen
econstor.citation.issn1864-6042en
econstor.citation.volume2en
econstor.citation.issue2008-28en
econstor.citation.publisherKiel Institute for the World Economy (IfW)en
econstor.citation.publisherplaceKielen
econstor.citation.year2008en
econstor.citation.startpage1en
econstor.citation.endpage20en

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