Multi-Scaling in the Sovereign Bond Yields

Using daily yield data of 14 sovereign bond markets of the world which we classify into two cohorts from July 10, 2000, to July 10, 2022, we examine their scaling properties using generalized Hurst exponent and spectral density analysis. We find that the scaling behavior of the bond yields for both the terms fits well using the Hurst exponent and spectra analysis confirms this finding. We also find that even though bonds in both the cohorts show anti-persistent behavior except that of the USA, the developed economies' bond yields are relatively less anti-persistent as compared to those of emerging economies