Hall, Anthony D; Anderson, Heather M; Granger, Clive W J - In: The Review of Economics and Statistics 74 (1992) 1, pp. 116-26
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...