Nominal interest rates and stationarity
This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series.
|Date of creation:||May 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0141 330 4618
Fax: 0141 330 4940
Web page: http://www.gla.ac.uk/schools/business/research/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bernanke, Ben S. & Mihov, Ilian, 1995.
"Measuring Monetary Policy,"
10, Institute for Advanced Studies.
- Hyunsok Kim & Ronald MacDonald, 2010.
"Equilibrium exchange rate determination and multiple structural changes,"
2010_14, Business School - Economics, University of Glasgow.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2013. "Equilibrium exchange rate determination and multiple structural changes," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 52-66.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers 2010-39, Scottish Institute for Research in Economics (SIRE).
- P. Newbold & S. J. Leybourne & R. Sollis & M. E. Wohar, 2001. "U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks," Trinity Economics Papers 20011, Trinity College Dublin, Department of Economics.
- Robert Sollis, 2005.
"Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 20(1), pages 79-98.
- Robert Sollis, 2004. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Money Macro and Finance (MMF) Research Group Conference 2003 91, Money Macro and Finance Research Group.
- Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400.
- Galvani, Valentina & Landon, Stuart, 2011.
"Riding the Yield Curve: A Spanning Analysis,"
2011-19, University of Alberta, Department of Economics.
- Newbold, Paul, et al, 2001. "U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 235-50, May.
- Wu, Yangru & Zhang, Hua, 1997. " Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
When requesting a correction, please mention this item's handle: RePEc:gla:glaewp:2010_17. 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: (Jeanette Findlay)
If references are entirely missing, you can add them using this form.