Explaining the US Bond Yield Conundrum

@inproceedings{Bandholz2013ExplainingTU,
  title={Explaining the US Bond Yield Conundrum},
  author={Harm Bandholz and Joerg Clostermann and Franz Seitz},
  year={2013}
}
  • Harm Bandholz, Joerg Clostermann, Franz Seitz
  • Published 2013
We analyze if and to what extent fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the low levels of US bond yields over the last few years. For that purpose, we start with a general model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction mechanism. We are able to establish a stable long-run relationship and find that the behavior of bond yields, even during the last two years… CONTINUE READING

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