Die Entwicklung langfristiger Kreditzinssätze: Eine empirische Analyse
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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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Dieter Nautz, Berlin
Jürgen Wolters, Berlin
References
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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.