A Cointegration Analysis of Treasury Bill Yields.
This paper shows that yields to maturity of U.S. Treasury bills are cointegrated and that, during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors. This cointegrating relationship implies that a single nonstationary common factor underlies the time-series behavior of each yield to maturity and that risk premia are stationary. An error-correction model that uses spreads as the error-correction terms is unstable over the Federal Reserve's policy regime changes, but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields. Copyright 1992 by MIT Press.
Year of publication: |
1992
|
---|---|
Authors: | Hall, Anthony D ; Anderson, Heather M ; Granger, Clive W J |
Published in: |
The Review of Economics and Statistics. - MIT Press. - Vol. 74.1992, 1, p. 116-26
|
Publisher: |
MIT Press |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Regulatory Tools and Price Changes in Futures Markets.
Hall, Anthony D, (2001)
-
Anderson, Heather M, (1997)
-
Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices.
Anderson, Heather M, (2001)
- More ...