dc.contributor.author | Caporale, Guglielmo Maria | |
dc.contributor.author | Gil Alana, Luis A. | |
dc.contributor.author | Martín Valmayor, Miguel Ángel | |
dc.date.accessioned | 2022-04-29T08:45:26Z | |
dc.date.available | 2022-04-29T08:45:26Z | |
dc.date.issued | 2021 | |
dc.identifier.issn | 1350-4851 | spa |
dc.identifier.uri | http://hdl.handle.net/10641/2956 | |
dc.description.abstract | This 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.iso | eng | spa |
dc.publisher | Applied Economics Letters | spa |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Long-term interest rates | spa |
dc.subject | Government bond yields | spa |
dc.subject | Fractional integration | spa |
dc.subject | Persistence | spa |
dc.subject | Non-linearities | spa |
dc.title | Non-linearities and persistence in US long-run interest rates. | spa |
dc.type | journal article | spa |
dc.type.hasVersion | AM | spa |
dc.rights.accessRights | open access | spa |
dc.description.extent | 795 KB | spa |
dc.identifier.doi | 10.1080/13504851.2021.1897511 | spa |
dc.relation.publisherversion | https://www.tandfonline.com/doi/full/10.1080/13504851.2021.1897511 | spa |