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Nominal Interest Rates and Stationarity

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  • Cerrato, Mario
  • Kim, Hyunsok
  • MacDonald, Ronald

Abstract

This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series.

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File URL: http://repo.sire.ac.uk/handle/10943/178
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Bibliographic Info

Paper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2010-43.

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Date of creation: 2010
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Handle: RePEc:edn:sirdps:178

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  1. P. Newbold & S. J. Leybourne & R. Sollis & M. E. Wohar, 2001. "U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks," Trinity Economics Papers 20011, Trinity College Dublin, Department of Economics.
  2. Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies.
  3. Hyunsok Kim & Ronald MacDonald, 2010. "Equilibrium exchange rate determination and multiple structural changes," Working Papers 2010_14, Business School - Economics, University of Glasgow.
  4. Newbold, Paul, et al, 2001. "U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 235-50, May.
  5. Robert Sollis, 2005. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 79-98.
  6. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400.
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Cited by:
  1. Gerrit B. Koester & Christoph Priesmeier, 2013. "Does Wagner´s Law Ruin the Sustainability of German Public Finances?," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(3), pages 256-288, September.

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