Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, the authors pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. Copyright 1996 by Ohio State University Press.
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Volume (Year): 28 (1996)
Issue (Month): 4 (November)
Pages: 604-21
| Handle: | RePEc:mcb:jmoncb:v:28:y:1996:i:4:p:604-21 |
| Contact details of provider: | Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
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