IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation

Listed author(s):
  • L. Vanessa Smith
  • Demosthenes Tambakis

The debt management policy changes of 1998-2001 and subsequent reversal of the US government's fiscal position have prompted research on the dynamics of the US Treasury bond market. The recursive break test procedure of Leybourne et al. (2003) is extended by using weighted-symmetric estimation to detect a single change in persistence in US Treasury on/off spreads. It is found that a significant change from I(0) to I(1) occurred in the late 1990s, which appears to be linked to changes in the US Treasury's debt management policy. Monte Carlo evidence shows that correcting for conditional heteroscedasticity in the data can successfully deal with the tests being oversized, albeit at a considerable loss in power for smaller sample sizes and large short-run variation in volatility. It is therefore advisable mainly for large sample sizes.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

Volume (Year): 14 (2007)
Issue (Month): 2 ()
Pages: 75-89

in new window

Handle: RePEc:taf:eurjfi:v:14:y:2007:i:2:p:75-89
DOI: 10.1080/13518470601025276
Contact details of provider: Web page:

Order Information: Web:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:14:y:2007:i:2:p:75-89. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.