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| Titel: |
The expectations theory of the term structure: a cointegration/causality analysis of US interest rates |
| Auteur: |
Mandeno, Robert J. Giles, David E. A. |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 5 (1995) nr. 5 pagina's 273-283 |
| Jaar: |
1995-10 |
| Inhoud: |
This study analyses monthly US Treasury short and long term interest rate data over the period 1950-82. We test for Granger causality between the short and long rate series in the context of an appropriately formulated vector autoregression which takes account of the non-stationarity of the data, and possible cointegration between the series. Unlike earlier studies, an allowance is also made for the seasonality of the monthly data, and special attention is paid to the presence of a major structural break in the data. Bootstrap simulation techniques are used to obtain critical values for unit root and cointegration tests which allow for this structural change. We find strong evidence that long rates caused short rates over the sample period, and some evidence of causality in the reverse direction. This supports the expectations theory of the term structure. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 106 van 132 gevonden artikelen
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