A Semiparametric Analysis of the Term Structure of the US Interest Rates*
用半参数方法分析美国利率期限结构，允许分数阶积分和协整，发现数据支持均值回复和共同长期趋势，但拒绝I(1)/I(0)假设，结果与央行影响短期合约、传导至长期合约的货币政策模型一致，但传导不能用期望假说建模。
Abstract The short end of the US$ term structure of interest rates is analysed allowing for the possibility of fractional integration and cointegration. This approach permits mean‐reverting dynamics for the data and the existence of a common long run stochastic trend to be maintained simultaneously. We estimate the model for the period 1963–2006 and find it compatible with this structure. The restriction that the data are I (1) and the errors are I (0) is rejected, mainly because the latter still display long memory. This result is consistent with a model of monetary policy in which the Central Bank operates affecting contracts with short term maturity, and the impulses are transmitted to contracts with longer maturities and then to the final goals. However, the transmission of the impulses along the term structure cannot be modelled using the Expectations Hypothesis.