Fractional integration and the volatility of UK interest rates
AbstractUsing fractional integration and GARCH modeling techniques, this paper investigates the dynamic properties of UK interest rates. We find evidence that, contrary to previous studies for the US and Canada, short rates are more nonstationary compared to longer rates. Further, differences in conditional volatility exist between rates of different maturities. We posit that the dynamics of interest rates may be both maturity-specific and country-specific and any a priori generalizing assumptions may be misleading.
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Bibliographic InfoPaper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 11/29.
Date of creation: May 2011
Date of revision: May 2011
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Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK
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Other versions of this item:
- Coleman, Simeon & Sirichand, Kavita, 2012. "Fractional integration and the volatility of UK interest rates," Economics Letters, Elsevier, vol. 116(3), pages 381-384.
- Simeon Coleman and Kavita Sirichand, 2011. "Fractional integration and the volatility of UK interest rates," Working Papers 2011/02, Nottingham Trent University, Nottingham Business School, Economics Division.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
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