Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229562
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Martin-Valmayor, Miguel
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8744
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.
Subjects: 
long-term interest rates
government bond yields
fractional integration
persistence
non-linearities
JEL: 
C22
E43
Document Type: 
Working Paper

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