Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure

URN to cite this document:: urn:nbn:de:bvb:355-epub-298256
DOI to cite this document:: 10.5283/epub.29825

Soloschenko, Max ; Weber, Enzo

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Date of publication of this fulltext: 23 Apr 2014 08:32

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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 ...