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Research on Long-term Memory of Interest Rate Fluctuations in Korea Using Wavelet OLS (in Korean)

Author

Listed:
  • Jin, Hyun Joung

    (Chung-Ang University)

  • Jun Mo Park

    (Chung-Ang University)

Abstract

The paper analyzes whether long-term memory exists in daily fluctuations of eight kinds of bond interest rates (interest rates on debt securities), namely currency bonds, corporate bonds, government bonds, financial bonds, national bonds, CP, CD and Call during the period January 1990 to June 2006, using the recently-developed Wavelet OLS. According to the results, the statistically significant coefficient of fractional difference is estimated from the data of the fluctuations of seven interest rates, i.e. excluding CP, and the coefficient of long-term memory comes within the range of -0.5

Suggested Citation

  • Jin, Hyun Joung & Jun Mo Park, 2007. "Research on Long-term Memory of Interest Rate Fluctuations in Korea Using Wavelet OLS (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 13(2), pages 156-187, June.
    • Handle: RePEc:bok:journl:v:13:y:2007:i:2:p:156-187
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    More about this item

    Keywords

    Bond market; interest rates data; long-term memory; fractional difference; wavelet OLS;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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