Modeling persistence and non-linearities in the US treasury 10-year bond yields

Guglielmo Maria Caporale, Luis Gil-Alana and Olaoluwa Yaya

Economics Bulletin, 2022, vol. 42, issue 3, 1221 - 1229

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.

Keywords: Non-linearities; Chebyshev polynomials; Fourier functions; persistence; US Treasury 10-year bond yields (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2022-09-30
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-22-00161

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