Term premium in a fractionally cointegrated yield curve
提出分数协整模型（FCVAR）分析美国国债收益率，发现收益率间存在均值回复的分数协整关系，该模型在预测上优于传统模型，且估计的期限溢价更稳健、波动更小。
The co-movement of US Treasury yields suggests a long-run equilibrium relationship. Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model (FCVAR) which allows for mean reverting though highly persistent patterns. Our results point to the existence of such mean-reverting fractional cointegration among Treasury yields. In terms of out-of-sample forecasting, the FCVAR soundly beats the I(0) VAR model across interest rate maturities and horizons and the I(1) cointegrated VAR across maturities and short-horizons. The implied US term premium –across different maturities– proves to be quite robust across subsamples and is less volatile than the classical I(0) stationary and I(1) unit root models. Our analysis highlights the role of real factors in shaping term premium dynamics and is extended to the UK and Germany yield curves.