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A Cointegration Analysis of Treasury Bill Yields

Hall, Anthony D. ; Anderson, Heather M. ; Clive W. J. Granger

The review of economics and statistics, 1992-02, Vol.74 (1), p.116-126 [Revista revisada por pares]

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Título:
A Cointegration Analysis of Treasury Bill Yields
Autor: Hall, Anthony D. ; Anderson, Heather M. ; Clive W. J. Granger
Materias: Economic models ; Economic theory ; Error correction & detection ; Factors ; Financial instruments ; Forecasting models ; Forecasts ; Informational error correction ; Interest rates ; Mathematical vectors ; Null hypothesis ; Statistical forecasts ; Treasury bills ; Yield ; Yield to maturity
Es parte de: The review of economics and statistics, 1992-02, Vol.74 (1), p.116-126
Descripción: This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors. This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary. An error correction model which uses spreads as the error correction terms is unstable over the Federal Reserve's policy regime changes, but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields.
Editor: Cambridge, Mass: Elsevier Science Publishers
Idioma: Inglés

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