Caporale, Guglielmo MariaGil Alana, Luis A.Martín Valmayor, Miguel Ángel2022-04-292022-04-2920211350-4851http://hdl.handle.net/10641/2956This 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.engAtribución-NoComercial-SinDerivadas 3.0 Españahttp://creativecommons.org/licenses/by-nc-nd/3.0/es/Long-term interest ratesGovernment bond yieldsFractional integrationPersistenceNon-linearitiesjournal articleopen access10.1080/13504851.2021.1897511