Institut für Arbeitsmarkt- und Berufsforschung

Navigation zu den wichtigsten Bereichen.

Hauptnavigation.


Zertifikat "audit berufundfamilie"


Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Mean-variance cointegration and the expectations hypothesis

Verfügbarkeit

Abstract

"The work provides an economic explanation of a well-known (seeming) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We derive from EHT that the nonstationarity stems from the holding premium, which is hence cointegrated with the spread. We model the premium as being proportional to the integrated variance of excess returns and further propose a cointegration test. Simulating the distribution of the test statistic we actually find cointegration relations between premia and spreads in US data. The EHT appears to perform better than previously thought." (Author's abstract, IAB-Doku) ((en))

Weitere Informationen

Autorin / Autor


Bibliografische Daten

Strohsal, Till; Weber, Enzo (2010): Mean-variance cointegration and the expectations hypothesis. (Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, 442; University of Regensburg working papers in business, economics and management information system, 442), Regensburg, 28 S.
 

Infobereich.

Abspann.