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Modeling persistence and non-linearities in the US treasury 10-year bond yields

Author

Listed:
  • Guglielmo Maria Caporale

    (Brunel University London)

  • Luis A Gil-Alana

    (University of Navarra, Spain and University Francisco de Vitoria, Spain)

  • Olaoluwa Simon Yaya

    (University of Ibadan)

Abstract

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A Gil-Alana & Olaoluwa Simon Yaya, 2022. "Modeling persistence and non-linearities in the US treasury 10-year bond yields," Economics Bulletin, AccessEcon, vol. 42(3), pages 1221-1229.
    • Handle: RePEc:ebl:ecbull:eb-22-00161
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    File URL: http://www.accessecon.com/Pubs/EB/2022/Volume42/EB-22-V42-I3-P103.pdf
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    More about this item

    Keywords

    Non-linearities; Chebyshev polynomials; Fourier functions; persistence; US Treasury 10-year bond yields;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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