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Un'analisi econometrica sul contenuto informativo della struttura a termine dei tassi di interesse tedeschi

Pontrelli, Michael (1997) Un'analisi econometrica sul contenuto informativo della struttura a termine dei tassi di interesse tedeschi. Working Paper. CRENoS.

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Abstract

In this paper the usefulness of spreads between long and short interest rates as indicators of future interest rates is analysed using monthly data derived from the estimation of the German term structure over the period 1983(11)-1994(12). The analysis is conducted using modern techniques of time series, as the cointegration analysis and the estimation of vector autoregressive (VAR) models. The results show that interest rate spreads contain considerable information about future short rate changes. This implies that interest rate spreads may be used as useful indicators for the future conduct of monetary policy.

Item Type:Technical Report / Working Paper / Project Report (Working Paper)
Publisher:CRENoS
Date:1997
Institution:Universita' degli Studi di Cagliari
Divisions:Centri > CRENoS Centro Ricerche Economiche Nord Sud
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria
Uncontrolled Keywords:interest rates german, 1983-1994, vector autoregressive models
ID Code:355
Deposited On:14 Nov 2008 10:31

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