Question: The difference between long-and short-term interest rates is known as the spread or the slope of the yield curve. Download monthly short-term rates (3-month Treasury

The difference between long-and short-term interest rates is known as the spread or the slope of the yield curve. Download monthly short-term rates (3-month Treasury bills) and long-term rates (10-year Treasury bonds). Are short-and long-term rates stationary? Construct the spread. Is it stationary? Is it a cointegrating relation?

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The data sets range from 1953M04 to 2013M09 In Figure 9 we plot both series Observe that these two s... View full answer

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