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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24836.
Date of creation: 2008
Date of revision: 08 Sep 2010
government bond returns; G7; linearity; stationarity; nonlinear;
Other versions of this item:
- Venus Khim-Sen Liew & Zhuo Qiao & Wing-keung Wong, 2010. "Linearity and stationarity of G7 government bond returns," Economics Bulletin, AccessEcon, vol. 30(4), pages 2642-2655.
- G1 - Financial Economics - - General Financial Markets
- N2 - Economic History - - Financial Markets and Institutions
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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