Strohsal, Till and Weber, Enzo (2014) Mean-variance cointegration and the expectations hypothesis. QUANTITATIVE FINANCE, 14 (11). pp. 1983-1997. ISSN 1469-7688, 1469-7696
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The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT): the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is hence (ii) cointegrated with the spread. In a stochastic discount factor framework, we model the premium as being driven by the integrated variance of excess returns. Introducing the concept of mean-variance cointegration, we actually find cointegration relations between the conditional first and second moment of US bond data.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | UNIT-ROOT TESTS; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; TERM STRUCTURE; INTEREST-RATES; OUTPUT GROWTH; ASSET PRICES; GARCH MODEL; RISK PREMIA; INFLATION; PERSISTENCE; Cointegration; GARCH; Expectations hypothesis; Holding premium; Persistence |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 08 Aug 2019 13:40 |
| Last Modified: | 08 Aug 2019 13:40 |
| URI: | https://pred.uni-regensburg.de/id/eprint/9226 |
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