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 paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (I) that the nonstationarity stems from the holding premium, which is hence (II) cointegrated with the spread. In a stochastic discount factor framework we model the premium as being driven by the integrated variance of excess returns. Introducing the concept of mean-variance cointegration we actually find cointegration relations between spreads and premia in US data." (Author's abstract, IAB-Doku) ((en))

Weitere Informationen

Autorin / Autor


Bibliografische Daten

Strohsal, Till; Weber, Enzo (2011): Mean-variance cointegration and the expectations hypothesis. (Sonderforschungsbereich Ökonomisches Risiko. Discussion paper, 2011-007), Berlin, 31 S.
 

Infobereich.

Abspann.