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Linearity and stationarity of G7 government bond returns

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Author Info

  • Venus Khim-Sen Liew

    ()
    (Universiti Malaysia Sarawak)

  • Zhuo Qiao

    ()
    (University of Macau)

  • Wing-keung Wong

    ()
    (Hong Kong Baptist University)

Abstract

This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P243.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 4 ()
Pages: 2642-2655

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Handle: RePEc:ebl:ecbull:eb-10-00110

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Keywords: government bond returns; G7; nonlinear; linearity; stationarity;

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  1. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2003. "Common factors in international bond returns," Open Access publications from Tilburg University urn:nbn:nl:ui:12-123825, Tilburg University.
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  11. Venus Khim-sen Liew & Ahmad Zubaidi Baharumshah & Terence Tai-leung Chong, 2003. "Are Asian Real Exchange Rates Stationary?," International Finance 0307002, EconWPA, revised 01 Nov 2004.
  12. Bodart, Vincent & Reding, Paul, 1999. "Exchange rate regime, volatility and international correlations on bond and stock markets," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 133-151, January.
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  29. repec:ebl:ecbull:v:15:y:2005:i:1:p:1-7 is not listed on IDEAS
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