Nonstationary term premia and cointegration of the term structure

被引：4
|
作者：
Carstensen, K [1 ]
机构：
[1] Kiel Inst World Econ, D-24105 Kiel, Germany
来源：
ECONOMICS LETTERS | 2003年 / 80卷 / 03期
关键词：
interest rates; nonstationary factors;
D O I：
10.1016/S0165-1765(03)00139-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes a model of the term structure with nonstationary term premia which exhibit a factor structure. This explains the common empirical finding of a cointegrating rank smaller than the one predicted by the rational expectations hypothesis of the term structure. An application to German interest rate data yields easily interpretable results. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：409 / 413
页数：5
相关论文
共 50 条
  • [1] TERM PREMIA IN A SIMPLE TERM STRUCTURE MODEL
    KIHLSTROM, RE
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1992, 16 (3-4): : 713 - 745
  • [2] The term structure of illiquidity premia
    Kempf, Alexander
    Korn, Olaf
    Uhrig-Homburg, Marliese
    [J]. JOURNAL OF BANKING & FINANCE, 2012, 36 (05) : 1381 - 1391
  • [3] Fractional cointegration and the term structure
    Lardic S.
    Mignon V.
    [J]. Empirical Economics, 2004, 29 (4) : 723 - 736
  • [4] Risk Premia and the VIX Term Structure
    Johnson, Travis L.
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2017, 52 (06) : 2461 - 2490
  • [5] The term structure of equity risk premia
    Bansal, Ravi
    Miller, Shane
    Song, Dongho
    Yaron, Amir
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2021, 142 (03) : 1209 - 1228
  • [6] THE TERM PREMIA RELATIONSHIP IMPLICIT IN THE TERM STRUCTURE OF TREASURY BILLS
    HEUSON, AJ
    [J]. JOURNAL OF FINANCIAL RESEARCH, 1988, 11 (01) : 13 - 20
  • [7] Nominal term structure and term premia: evidence from Chile
    Ceballos, Luis
    Naudon, Alberto
    Romero, Damian
    [J]. APPLIED ECONOMICS, 2016, 48 (29) : 2721 - 2735
  • [8] MONETARY REGIMES AND THE TERM STRUCTURE OF FORWARD PREMIA
    THACKER, N
    [J]. JOURNAL OF POST KEYNESIAN ECONOMICS, 1995, 18 (01) : 53 - 64
  • [9] The term structure of equity and variance risk premia
    Ait-Sahalia, Yacine
    Karaman, Mustafa
    Mancini, Loriano
    [J]. JOURNAL OF ECONOMETRICS, 2020, 219 (02) : 204 - 230
  • [10] The Term Structure of Currency Futures' Risk Premia
    Bernoth, Kerstin
    Von Hagen, Jurgen
    De Vries, Casper
    [J]. JOURNAL OF MONEY CREDIT AND BANKING, 2022, 54 (01) : 5 - 38
12345