A cointegration analysis of treasury bill yields

Anthony D. Hall, Heather M. Anderson, Clive W. J. Granger

Research output: Contribution to journalArticleResearchpeer-review


his paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors. This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary. An error correction model which uses spreads as the error correction terms is unstable over the Federal Reserve's policy regime changes, but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields.
Original languageEnglish
Pages (from-to)116-126
Number of pages11
JournalReview of Economics and Statistics
Issue number1
Publication statusPublished - Feb 1992
Externally publishedYes


  • cointegration
  • interest rates
  • time series analysis
  • government securities
  • Federal Reserve monetary policy
  • economic forecasting
  • Treasury bills - United States

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