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Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Capturing the interaction of trend, cycle, expectations and risk premia in the US term structure

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Abstract

"This paper deals with simultaneous interactions between the determinants of the US yield curve. For this purpose, we derive a multivariate unobserved components model based on the expectation hypothesis. The influencing factors of the term structure that arise from the structural model are a common stochastic trend, the cyclical part of the short rate and maturity-dependent term premiums in the longer rates. We establish a significant influence of both permanent and transitory innovations on the US term structure and find pronounced spillovers between the shocks of the term structure determinants. An interesting result depicts a key role of the spillovers of structural mid-term rate cycle shocks in the formation of the risk premiums." (Author's abstract, IAB-Doku) ((en))

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Bibliografische Daten

Soloschenko, Max; Weber, Enzo (2014): Capturing the interaction of trend, cycle, expectations and risk premia in the US term structure. (Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft, 475;>> University of Regensburg working papers in business, economics and management information systems, 475), Regensburg, 24 S.
 

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