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Guglielmo Maria Caporale, Luis A Gil-Alana and Olaoluwa Simon Yaya
 
''Modeling persistence and non-linearities in the US treasury 10-year bond yields''
( 2022, Vol. 42 No.3 )
 
 
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.
 
 
Keywords: Non-linearities; Chebyshev polynomials; Fourier functions; persistence; US Treasury 10-year bond yields
JEL: F3 - International Finance: General
G1 - General Financial Markets
 
Manuscript Received : Feb 21 2022 Manuscript Accepted : Sep 30 2022

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