A cointegration analysis of interest rates in Germany

Wolfgang Bessler (Lally School of Management and Technology, Rensselaer Polytechnic Institute, Troy, New York)
John R. Norsworthy (Lally School of Management and Technology, Rensselaer Polytechnic Institute, Troy, New York)

Managerial Finance

ISSN: 0307-4358

Publication date: 1 April 1998

Abstract

Reviews the literature on the term structure of interest rates. Suggests that low German inflation might lead to idiosyncratic interest rate behaviour in Germany. Tests German government securities’ interest rates from 1981 to 1994 for cointegration, using unit root tests, for a range of maturities. Shows skewness and negative kertosis, and cointegration for German bond yields from one to ten year maturities. Concludes that German interest rates behave like US interest rates.

Keywords

Citation

Bessler, W. and Norsworthy, J. (1998), "A cointegration analysis of interest rates in Germany", Managerial Finance, Vol. 24 No. 4, pp. 68-86. https://doi.org/10.1108/03074359810765480

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Publisher

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MCB UP Ltd

Copyright © 1998, MCB UP Limited

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