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Sample text

Interpretation and Discussion: From (18), we see that Xlt and X2t are two linear contrasts of the deposit interest rates and X3t is proportional to the average of the rates. Compared with Zt* of Section 4 based on PCA of~, Xlt is roughly the same as zt" measuring the curvature of the yield curve, and X3t is virtually identical to Z~t' representing the general level of the three series. 5S2t , which is a weighted average of the spreads and is, again, an approximation to the first derivative of the yield curve.

For 1=0, ... , p, let ~ = [V I . I , ... 1 = 0 if Pi < I :s; p. Similarly, for j = 1, ... j, ... j = 0 if qi < j :s; q. By (14), we have VOZt + VIZt- 1 + ... + VpZ t_p = VOat + Hla t_1 + ... + Hqa t_q , (15) which is a V ARMA(p, q) model. This model has certain features that are particularly useful in model-building. For instance, L~=I [(p - pJ + (q - qJ] rows of V; and H j are zero. Such a reduction in the number of parameters can substantially simplify the task of parameter estimation. Another feature is that the SCMs might have substantive meanings in real applications; at least they point out linear combinations of the system that have simple structures.

Asia Pacific Journal of Management 8:55-70 Litterman R, Scheinkman J (1988) Common factors affecting bond returns. Working Paper, Goldman Sachs Liitkepohl H (1991) Introduction to multiple time series analysis. New York, Springer-Verlag McKinnon R (1973) Money and capital in economic development, Brookings Institution. Washington,DC Phillips PCB (1987) Time series regression with a unit root. Econometrica 55:227-301 Reinsel GC (1983) Some results on multivariate autoregressive index models. Biometrika 70: 145156 Stock JH, Watson MW (1988) Testing for common trends.

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