A Cointegration Analysis of Treasury Bill Yields
发现美国国库券到期收益率存在协整关系，在美联储盯住短期利率时期，不同期限收益率利差构成协整向量，并基于此建立误差修正模型用于预测收益率变化。
This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors.This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary.An error correction model which uses spreads as Ihe error correction terms is unstable over the Federal Reserve's policy regime changes, but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields.