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Activity Number: 415
Type: Contributed
Date/Time: Wednesday, August 5, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #303769
Title: Spectral Analysis of the Term Structure of US Interest Rates
Author(s): Kalidas Jana*+
Companies: The University of Texas at Brownsville
Address: Department of Business Administration, Brownsville, TX, 78520-4956,
Keywords: Term Structure ; Auto Spectrum ; Cross Spectrum ; Coherence Spectrum ; Phase Spectrum
Abstract:

Inspired by the work of Granger and Rees (1968), which carried out spectral analysis of the term structure of interest rates of the U.K., this paper attempts to carry out spectral analysis of the term structure of interest rates of the U.S. In the spirit of Granger and Rees (1968), our analysis is predominantly descriptive without any attempt toward building a full model of the system. Primary tools of the analysis are auto spectrum, cross spectrum, coherence spectrum, and phase spectrum. Data used in the analysis are monthly observations spanning from January 1982 to December 2008 on interest rates of U.S. Treasury Bills, Notes and Bonds of different lengths of maturity. They are obtained from the Federal Reserve Bank of St. Louis.

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