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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2011-007
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is hence (ii) cointegrated with the spread. In a stochastic discount factor framework we model the premium as being driven by the integrated variance of excess returns. Introducing the concept of mean-variance cointegration we actually find cointegration relations between spreads and premia in US data.
Schlagwörter: 
expectations hypothesis
holding premium
persistence
cointegration
GARCH
JEL: 
E43
C32
Dokumentart: 
Working Paper

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