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.
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| Date of creation: | May 2010 |
| Date of revision: | |
| Handle: | RePEc:gla:glaewp:2010_17 |
| Contact details of provider: | Postal: Adam Smith Building, Glasgow G12 8RT Phone: 0141 330 4618 Fax: 0141 330 4940 Web page: http://www.gla.ac.uk/schools/business/research/ More information through EDIRC
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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.:
- 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.
- 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).
- 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.
- Hyunsok Kim & Ronald MacDonald, 2010. "Equilibrium exchange rate determination and multiple structural changes," Working Papers 2010_14, Business School - Economics, University of Glasgow.
- 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.
- Robert J. Shiller & J. Huston McCulloch, 1987.
"The Term Structure of Interest Rates,"
NBER Working Papers
2341, National Bureau of Economic Research, Inc.
- Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
- 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.
- 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.
- 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.
- Valentina Galvani & Stuart Landon, 2013.
"Riding the yield curve: a spanning analysis,"
Review of Quantitative Finance and Accounting,
Springer, vol. 40(1), pages 135-154, January.
- Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
- Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 113(3), pages 869-902.
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