Tekijä: | Schotman, P. C. |
Otsikko: | When units roots matter: excess volatility and excess smoothness of long-term interest rates |
Lehti: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 669-694 |
Asiasana: | AUTOREGRESSION COINTEGRATION TERM STRUCTURE OF INTEREST RATES UNIT ROOTS VOLATILITY |
Kieli: | eng |
Tiivistelmä: | This paper re-examines volatility tests of the expectations model of the term structure of interest rates. In a multivariate vector autoregression (VAR) including interest rates, prices, money and output, the authors find that the long-term interest rate overreacts to all transitory shocks, and underreacts to all permanent shocks, irrespective of the number of unit roots and the cointegration structure of the system. |
SCIMA