Fractional cointegration in US term spreads

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5061

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DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Gil-Alana, LA	-
dc.date.accessioned	2011-04-18T11:28:31Z	-
dc.date.available	2011-04-18T11:28:31Z	-
dc.date.issued	2010	-
dc.identifier.citation	Economics and Finance Working Paper, Brunel University, 10-04	en_US
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/5061	-
dc.description.abstract	This note examines the stochastic properties of US term spreads with parametric and semiparametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases with maturity. Further, mean reversion occurs for the 5, 7 and 10 year rates as well as for several term spreads, suggesting that the expectation hypothesis of the term structure is satisfied empirically.	en_US
dc.language.iso	en	en_US
dc.publisher	Brunel University	en_US
dc.subject	Term structure	en_US
dc.subject	Long memory	en_US
dc.subject	Fractional integration	en_US
dc.subject	Fractional cointegration	en_US
dc.title	Fractional cointegration in US term spreads	en_US
dc.type	Working Paper	en_US
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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