A Cointegration Analysis Of Treasury Bill Yields

Mit Press
Publication Type:
Journal Article
Review Of Economics And Statistics, 1992, 74 (1), pp. 116 - 126
Issue Date:
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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
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