Η καμπύλη επιτοκίων στις ΗΠΑ και τη Γερμανία
KeywordsΜακροχρόνια επιτόκια ; Βραχυχρόνια επιτόκια ; Καμπύλη επιτοκίων ; Καμπύλη αποδόσεων ; Spread λήξης
This thesis studies the yield curve and more specifically, the relationship between short-term and long-term yields, the relationship between the yields curves of Germany and the USA and how these relationships may have changed during the crisis period. Using monthly data on short- and long-term yields in Germany and the United States and the connection between long-term and short-term yields, as well as the linking of yield curves between the two countries have been examined. The results of the econometric analysis revealed that there is a long-term balance between short-term yields in the US that remains stable before and during the crisis period, which is not present in Germany. Moreover, in the US, short-term yields had a long-lasting effect, while in the image is reversed in Germany. With regards to the connection of the yield curves, the results show that there is a long-term relationship between short-term yields and maturity spreads in Germany and US but not between long-term yields, where this connection did not change during the crisis period. There is also evidence that for short-term yields there is a two-way relationship between Germany and the US, while for long-term yields and maturity spreads, an one-way relationship was identified where Germany affects the US.