IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v14y2007i2p75-89.html
   My bibliography  Save this article

Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation

Author

Listed:
  • L. Vanessa Smith
  • Demosthenes Tambakis

Abstract

The debt management policy changes of 1998-2001 and subsequent reversal of the US government's fiscal position have prompted research on the dynamics of the US Treasury bond market. The recursive break test procedure of Leybourne et al. (2003) is extended by using weighted-symmetric estimation to detect a single change in persistence in US Treasury on/off spreads. It is found that a significant change from I(0) to I(1) occurred in the late 1990s, which appears to be linked to changes in the US Treasury's debt management policy. Monte Carlo evidence shows that correcting for conditional heteroscedasticity in the data can successfully deal with the tests being oversized, albeit at a considerable loss in power for smaller sample sizes and large short-run variation in volatility. It is therefore advisable mainly for large sample sizes.

Suggested Citation

  • L. Vanessa Smith & Demosthenes Tambakis, 2007. "Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 75-89.
    • Handle: RePEc:taf:eurjfi:v:14:y:2007:i:2:p:75-89
    DOI: 10.1080/13518470601025276
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13518470601025276
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13518470601025276?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2008. "The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 40-52.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:14:y:2007:i:2:p:75-89. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.