Non-Linearities and Persistence in US Long-Run Interest Rates

Guglielmo Maria Caporale, Luis Gil-Alana and Miguel Martin-Valmayor

No 8744, CESifo Working Paper Series from CESifo

Abstract: This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from Bloomberg including end-of-the-month values over the period January 1962-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation results indicate that both are highly persistent and exhibit non-linearities, the latter being more pronounced in the case of the ECB series.

Keywords: long-term interest rates; government bond yields; fractional integration; persistence; non-linearities (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-his and nep-mac
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Related works:
Journal Article: Non-linearities and persistence in US long-run interest rates (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_8744

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