Pontrelli, Michael (1997) Un'analisi econometrica sul contenuto informativo della struttura a termine dei tassi di interesse tedeschi. Working Paper. CRENoS.
Official URL: http://www.crenos.it/working/pdf/97-2.pdf
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)|
|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|
|Deposited On:||14 Nov 2008 10:31|
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