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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-20
debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …
Persistent link: https://www.econbiz.de/10005082969
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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - Institut für Weltwirtschaft (IfW) - 2008
debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …
Persistent link: https://www.econbiz.de/10005083365
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The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal
Silva Lopes, Artur C.; Monteiro, Olga Susana - Volkswirtschaftliche Fakultät, … - 2007
cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …
Persistent link: https://www.econbiz.de/10005837523
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The expectations hypothesis of the term structure: some empirical evidence for Portugal
Silva Lopes, Artur C.; Monteiro, M.; Susana, Olga - Volkswirtschaftliche Fakultät, … - 2007
cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …
Persistent link: https://www.econbiz.de/10005616562
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La théorie des anticipations de la structure par terme : test à partir des titres publics français.
Jondeau, E.; Ricart, R. - Banque de France - 1997
This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the...
Persistent link: https://www.econbiz.de/10008566302
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More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
Johansen, Søren; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2003
In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.
Persistent link: https://www.econbiz.de/10004980694
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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Nkusu, Mwanza - International Monetary Fund (IMF) - 2011
We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...
Persistent link: https://www.econbiz.de/10009203534
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The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
Sarno, Lucio; Thornton, Daniel L; Valente, Giorgio - C.E.P.R. Discussion Papers - 2005
This paper tests the expectations hypothesis (EH) using US monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from 1 month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power:...
Persistent link: https://www.econbiz.de/10005791434
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On the Expectations Hypothesis in US Term Structure
Bataa, Erdenebat; Kim, Dong Heon; Osborn, Denise R. - Society for Computational Economics - SCE - 2006
approximation provided by the first order asymptotic theory. When the modified B&H methodology is applied to extensive US zero … coupon term structure data ranging from 1 month to 10 years we find less rejections for the theory in a sub-sample of Jan … the theory less often than they do. This is probably as one would expect, since we test the EH theory of term structure …
Persistent link: https://www.econbiz.de/10005132632
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Why are long rates sensitive to monetary policy?
Soderstrom, Ulf; Ellingsen, Tore - Society for Computational Economics - SCE - 2004
We use a quantitative model of the U.S. economy to analyze the response of long-term interest rates to monetary policy, and compare the model results with empirical evidence. We find that the strong and time-varying yield curve response to monetary policy innovations found in the data can be...
Persistent link: https://www.econbiz.de/10005706565