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Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries

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Author Info
Wu, Yangru
Zhang, Hua

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Abstract

Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, the authors pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. Copyright 1996 by Ohio State University Press.

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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 28 (1996)
Issue (Month): 4 (November)
Pages: 604-21
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Handle: RePEc:mcb:jmoncb:v:28:y:1996:i:4:p:604-21

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness. [Downloadable!]
  2. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  3. Chi-Young Choi & Nelson C. Mark & Donggyu Sul, 2004. "Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models," Econometrics 0409005, EconWPA. [Downloadable!]
  4. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," UNU-MERIT Working Paper Series 012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
  5. Herbert Brücker & Boriss Siliverstovs & Parvati Trübswetter, 2003. "International Migration to Germany : Estimation of a Time-Series Model and Inference in Panel Cointegration," Discussion Papers of DIW Berlin 391, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  6. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology. [Downloadable!]
  7. Erik Hjalmarsson & Pär Österholm, 2007. "Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated," IMF Working Papers 07/141, International Monetary Fund. [Downloadable!]
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  8. Herbert Brücker & Philipp J. H. Schröder, 2006. "International Migration with Heterogeneous Agents: Theory and Evidence," IZA Discussion Papers 2049, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  9. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000. [Downloadable!]
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