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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
  • OlaOluwa Simon Yaya

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. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    • Handle: RePEc:ces:ceswps:_9554
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    References listed on IDEAS

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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:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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