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Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries

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  • Wu, Yangru
  • Zhang, Hua

Abstract

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.

Suggested Citation

  • Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-621, November.
    • Handle: RePEc:mcb:jmoncb:v:28:y:1996:i:4:p:604-21
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    References listed on IDEAS

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