Linearity and stationarity of G7 government bond returns

Venus Liew, Zhuo Qiao and Wing-Keung Wong

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets.

Keywords: government bond returns; G7; linearity, stationarity; nonlinear (search for similar items in EconPapers)
JEL-codes: C1 G1 N2 (search for similar items in EconPapers)
Date: 2008, Revised 2010-09-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Journal Article: Linearity and stationarity of G7 government bond returns (2010)
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