Modeling International Long-Term Interest Rates
AbstractThis study investigates the relationship among interest rates on the long-term government bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short-term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long-term interest rate series. Thus, when modeling or forecasting these central government long-term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate. Copyright 1994 by MIT Press.
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Bibliographic InfoArticle provided by Eastern Finance Association in its journal The Financial Review.
Volume (Year): 29 (1994)
Issue (Month): 4 (November)
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- Bergin, Paul R. & Jorda, Oscar, 2004.
"Measuring monetary policy interdependence,"
Journal of International Money and Finance,
Elsevier, vol. 23(5), pages 761-783, September.
- Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 599-610.
- John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics 315., Boston College Department of Economics.
- Chittenden, William T. & Hein, Scott E., 1999. "Tax rate changes and the long-run equilibrium relationship between taxable and tax-exempt interest rates," Journal of Economics and Business, Elsevier, vol. 51(4), pages 327-346, July.
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