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

Soloschenko, Max and Weber, Enzo (2014) Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 475, Working Paper, Regensburg.

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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 ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:22 April 2014
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
UNSPECIFIEDRePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
C58Journal of Economics Literature Classification
E43Journal of Economics Literature Classification
G12Journal of Economics Literature Classification
Keywords:unobserved components, expectation hypothesis, cointegration, identification, risk premium
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:29825
Owner only: item control page

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