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Mean-Variance Cointegration and the Expectations Hypothesis

Strohsal, Till and Weber, Enzo (2010) Mean-Variance Cointegration and the Expectations Hypothesis. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 442, Working Paper.

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Date of publication of this fulltext: 31 May 2010 13:28

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Abstract

The present 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 ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:31 May 2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:15152RePEc Handle
Classification:
NotationType
E43Journal of Economics Literature Classification
C32Journal of Economics Literature Classification
Keywords:Expectations Hypothesis, Holding Premium, Persistence, Cointegration, GARCH
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:15152
Owner only: item control page

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