Financial markets are integrated with each other, and market variables such as yields of treasuries of different maturities are expected to move simultaneously. One particular concept for analyzing this kind of relationship is the cointegration and error correction, when there is a long-term equilibrium relationship underlying the movements of market variables. Furthermore, the idea that cointegrated time series also exhibit Granger causality
is also explored here. Therefore, this research aims to analyze the yields of different maturities using the cointegration and Granger causality approach. The U.S. treasury yields of various maturities from 2009 to 2022 are used for the data. Different combinations of
yields in daily, weekly, and monthly frequencies are analyzed to derive a more stable conclusion of cointegration and Granger causality. The result shows that treasuries yields are cointegrated and Granger causing each other, particularly on the short end of the term structure.

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