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On the term structure of interest rates — Empirical results for Germany

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Abstract

This paper analyzes implications of the expectations hypothesis of the term structure using different German money-market rates and bond yields for the period from January 1977 to April 1993. The investigation applies different methodological approaches: the cointegration approach and frequency domain methods. Money market rates are driven by one common trend and spreads of these rates are stationary, whereas for the bond market and the relation between the money market and the bond market significant level relations between interest rates of different maturities do not seem to exist.

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  1. Institute of Statistics and Econometrics, Free University of Berlin, Boltzmannstr. 20, D-14195, Berlin

    J. Wolters

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  1. J. Wolters
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Wolters, J. On the term structure of interest rates — Empirical results for Germany. Stat Papers 36, 193–214 (1995). https://doi.org/10.1007/BF02926034

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  • DOI: https://doi.org/10.1007/BF02926034

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