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Response of Long-Term Interest Rates to Overnight Interest Rates in the United States

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Figure

Table 1: Augmented Dickey-Fuller Unit Root Tests in Levels
Table 3: Results of the Johansen Co-integration Tests for LTI Model
Table 4: Normalized Co-integration Coefficients for LTI Model
Table 5: Vector Error Correction Model Results for LTI Model  Variable  B  SE  z-Stat  D.LTI10(-1)  0.180  0.1600  1.16  D.OI(-1)  -0.080  0.1000  -0.82  D.INF(-1)  -0.080  0.0600  -1.23  D.NKI(-1)  -0.0001  0.0004  -0.15  D.BD(-1)  -0.003  0.0010  -2.40

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