Caporale, Guglielmo Maria Gil-Alaña, Luis A. Martin-Valmayor, Miguel
Year of Publication:
CESifo Working Paper No. 8744
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.
long-term interest rates government bond yields fractional integration persistence non-linearities