Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Guglielmo Maria Caporale, Luis Gil-Alana and Olaoluwa Yaya

No 9554, CESifo Working Paper Series from CESifo

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: C22 E43 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Modeling persistence and non-linearities in the US treasury 10-year bond yields (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_9554

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