Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors

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Year of publication:	[2022]
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Yaya, OlaOluwa S.
Publisher:	[S.l.] : SSRN
Subject:	USA \| United States \| Kapitaleinkommen \| Capital income \| Öffentliche Anleihe \| Public bond \| Staatspapier \| Government securities \| Anleihe \| Bond \| Zinsstruktur \| Yield curve \| Großbritannien \| United Kingdom \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (13 p)
Series:	CESifo Working Paper ; No. 9554
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2022 erstellt
Other identifiers:	10.2139/ssrn.4031192 [DOI]
Classification:	C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013306037