A reconciliation of some paradoxical empirical results on the expectations model of the term structure

Article Abstract:

The study proposes new methods of assessing the expectations model as the primary conceptual framework in analyzing bond markets and interest rates. The study, which employs monthly data on three-month and one-month U.S. and U.K. interest rates, explains its contradictory empirical results when analyzing long maturities. Results verify earlier tests that yield spread forecasts future change in the one-month rate, however, the regression coefficient deviates considerably from the theoretically predicted values.

Economics, Research and Development in the Social Sciences and Humanities, United Kingdom, Economic aspects, United States economic conditions, Rational expectations (Economics), Interest rate futures

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Triangular representation and error correction mechanism in cointegrated systems

Article Abstract:

Proof of the G.W.J. Granger representation theorem is analyzed. The proof starts from P.C.B. Phillip's 1991 triangular representation of a cointegrated system, although the vector error correction mechanism formula proposed by S. Johansen is also used. The MA and AR representations are analytically specified in terms of the triangular system. Triangular system representation provides improved insights on the different parameterizations of a cointegrated system.

Analysis, Computers, Digital computers, Error-correcting codes

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Triangular representation and error correction mechanism in cointegrated systems

Article Abstract:

A study has been conducted to develop a derivation of the Granger representation theorem starting from the Phillips' triangular system. Phillips' triangular representation and the vector error correction mechanism formulation are the two different specifications of a cointegrated system that have been used extensively in the literature on the representation, estimation and interference in cointegrated systems.

Vector analysis

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