Go to content
UR Home

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

URN to cite this document:
Soloschenko, Max ; Weber, Enzo
Date of publication of this fulltext: 23 Apr 2014 08:32


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 ...


Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons