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- URN to cite this document:
- urn:nbn:de:bvb:355-epub-151523
- DOI to cite this document:
- 10.5283/epub.15152
Alternative links to fulltext:Repec
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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