Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries.
Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, the authors pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. Copyright 1996 by Ohio State University Press.
Year of publication: |
1996
|
---|---|
Authors: | Wu, Yangru ; Zhang, Hua |
Published in: |
Journal of Money, Credit and Banking. - Blackwell Publishing. - Vol. 28.1996, 4, p. 604-21
|
Publisher: |
Blackwell Publishing |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields.
Wu, Yangru, (1997)
-
Asymmetry in forward exchange rate bias: A puzzling result
Wu, Yangru, (1996)
-
Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis
Wu, Yangru, (1997)
- More ...