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http://bura.brunel.ac.uk/handle/2438/24780| Title: | Modelling persistence and non-linearities in the US Treasury 10-year bond yields |
| Authors: | Caporale, GM Gil-Alana, LA Yaya, OS |
| Keywords: | non-linearities;Chebyshev polynomials;Fourier functions;persistence;US Treasury;10-year bond yields |
| Issue Date: | 30-Sep-2022 |
| Publisher: | AccessEcon LLC |
| Citation: | Caporale. G.M., Gil-Alana. L.A., Yaya. O.S. (2022) 'Modelling persistence and non-linearities in the US Treasury 10-year bond yields', Economics Bulletin, 42 (3), pp. 1221–1229. Available at: https://accessecon.com/Pubs/EB/2022/Volume42/EB-22-V42-I3-P103.pdf |
| Series/Report no.: | CESifo Working Paper;No. 9554 |
| Abstract: | 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. |
| Description: | A preprint version of the article is available at https://doi.org/10.2139/ssrn.4031192 - it has not been certified by peer review. |
| URI: | https://bura.brunel.ac.uk/handle/2438/24780 |
| Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
| Appears in Collections: | Department of Economics, Finance and Accounting Research Papers * |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2022 Economics Bulletin. The author retains the right to reuse or reproduce all work accepted for publication at the Economics Bulletin in any form he chooses subject to the sole condition that proper acknowledgment is made of its prior publication in Economics Bulletin. | 174.99 kB | Adobe PDF | View/Open |
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