NEAR UNIT ROOTS, COINTEGRATION, AND THE TERM STRUCTURE OF INTEREST RATES
NEAR UNIT ROOTS, COINTEGRATION, AND THE TERM STRUCTURE OF INTEREST RATES
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近单位根、协整和利率期限结构
DOI：
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发表时间：
2000
期刊：
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通讯作者：
Markku Lanne
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作者：
Markku Lanne
利率期限结构通常被建模为一个协整系统，收益率差形成协整向量。检验收益率息差是否跨越协整空间是有问题的，因为当最大的自回归根偏离统一时，对协整向量的常规检验往往会过度拒绝，就像利率的情况一样。开发了一种新的检验，该检验是与确切单位根假设的稳健w.r.t.偏差，并将其应用于1952:1-1991:2期间的月度美国利率数据。考虑到1979年的制度转移，用稳健检验不能拒绝收益率差是协整向量的假设。版权所有©2000约翰威利父子有限公司
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption is developed and applied to monthly US interest rate data from 1952:1-1991:2. Taking into account the regime shift in 1979, the hypothesis of the yield spreads being the cointegrating vectors cannot be rejected using the robust test. Copyright © 2000 John Wiley & Sons, Ltd.