Nonstationary term premia and cointegration of the term structure

This paper proposes a model of the term structure with nonstationary term premia which exhibit a factor structure. This explains the common empirical finding of a cointegrating rank smaller than the one predicted by the rational expectations hypothesis of the term structure. An application to German interest rate data yields easily interpretable results.

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Year of publication:	2003
Authors:	Carstensen, Kai
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München

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Series:	Munich Reprints in Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters 3 80(2003): pp. 409-413
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010897403