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dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorMartín Valmayor, Miguel Ángel 
dc.date.accessioned2022-04-29T08:45:26Z
dc.date.available2022-04-29T08:45:26Z
dc.date.issued2021
dc.identifier.issn1350-4851spa
dc.identifier.urihttp://hdl.handle.net/10641/2956
dc.description.abstractThis note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from Bloomberg including end-of-the-month values over the period January 1962-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation results indicate that both are highly persistent and exhibit non-linearities, the latter being more pronounced in the case of the ECB series. Also, there is no conclusive evidence of the presence of structural breaks.spa
dc.language.isoengspa
dc.publisherApplied Economics Lettersspa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectLong-term interest ratesspa
dc.subjectGovernment bond yieldsspa
dc.subjectFractional integrationspa
dc.subjectPersistencespa
dc.subjectNon-linearitiesspa
dc.titleNon-linearities and persistence in US long-run interest rates.spa
dc.typearticlespa
dc.description.versionpost-printspa
dc.rights.accessRightsopenAccessspa
dc.description.extent795 KBspa
dc.identifier.doi10.1080/13504851.2021.1897511spa
dc.relation.publisherversionhttps://www.tandfonline.com/doi/full/10.1080/13504851.2021.1897511spa


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Atribución-NoComercial-SinDerivadas 3.0 España
Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España