Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217312
Authors: 
Ozel, Ozgur
Ilalan, Deniz
Year of Publication: 
2018
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 18 [Year:] 2018 [Issue:] 1 [Pages:] 35-39
Abstract: 
A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates.
Subjects: 
Interest rates
Unit root
Mean reversion
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/
Document Type: 
Article

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