Linearity and stationarity of G7 government bond returns
AbstractThis 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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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 4 ()
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government bond returns; G7; nonlinear; linearity; stationarity;
Other versions of this item:
- Liew, Venus Khim-Sen & Qiao, Zhuo & Wong, Wing-Keung, 2008. "Linearity and stationarity of G7 government bond returns," MPRA Paper 24836, University Library of Munich, Germany, revised 08 Sep 2010.
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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