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Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse

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Nautz, D., Wolters, J. Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse. Credit and Capital Markets – Kredit und Kapital, 29(4), 481-510. https://doi.org/10.3790/ccm.29.4.481
Nautz, Dieter and Wolters, Jürgen "Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse" Credit and Capital Markets – Kredit und Kapital 29.4, 1996, 481-510. https://doi.org/10.3790/ccm.29.4.481
Nautz, Dieter/Wolters, Jürgen (1996): Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse, in: Credit and Capital Markets – Kredit und Kapital, vol. 29, iss. 4, 481-510, [online] https://doi.org/10.3790/ccm.29.4.481

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Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse

Nautz, Dieter | Wolters, Jürgen

Credit and Capital Markets – Kredit und Kapital, Vol. 29 (1996), Iss. 4 : pp. 481–510

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Article Details

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Dieter Nautz, Berlin

Jürgen Wolters, Berlin

References

  1. Banerjee, A., Dolado, J., Galbraith, J. W. und Hendry, D. F. (1993): Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data. Oxford University Press.  Google Scholar
  2. Banerjee, A., Dolado, J. und Mestre, R. (1994): On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors. Mimeo.  Google Scholar
  3. Campbell, J. Y. und Shiller, R. J. (1987): Cointegration and Tests of Present Value Models. Journal of Political Economy, 95: 1062 - 88.  Google Scholar

Abstract

The Development of Long-Term Credit Rates: An Empirical Analysis

This paper investigates the development of five-year and ten-year mortgage loan and capital market rates. Cointegration tests imply that these interest rates are separated by maturity: each mortgage loan rate is cointegrated with its refinancing rate, i.e. the capital market rate with the same maturity. Whereas the relation between two interest rates of different maturities which is implied by the expectations hypothesis of the term structure seems to be weak. However, impulse response functions and a dynamic factor analysis reveal that there are nevertheless level relations between interest rates of different maturity. It is demonstrated that the consideration of these more complex relations improves the forecast of the five-year mortgage loan rate.