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Mean reversion in US and international short rates

  • Christiansen, Charlotte

We extend the CKLS one factor short rate model to include nonlinear mean reversion in a new way. We allow for extreme value mean reversion by including the smallest short rate during the previous year in the mean equation. The US short rate is found to exhibit extreme value mean reversion. The evidence of mean reversion varies across the short rates in the US and five other major markets (Canada, Germany, Japan, Switzerland, and the UK).

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File URL: http://www.sciencedirect.com/science/article/B6W5T-4YR3HC6-1/2/42b107cd658d1f27f16be037c23b7a22
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Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 21 (2010)
Issue (Month): 3 (December)
Pages: 286-296

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Handle: RePEc:eee:ecofin:v:21:y:2010:i:3:p:286-296
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620163

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