Nominal interest rates and stationarity

被引：3
|
作者：
Cerrato M. [1 ]
Kim H. [1 ,2 ]
MacDonald R. [1 ]
机构：
[1] Department of Economics, University of Glasgow, Adam Smith Building, Glasgow
[2] Division of International Trade and Economics, Korea Maritime University, 1 Dongsamdong Youngdogu, Busan
来源：
Review of Quantitative Finance and Accounting | 2013年 / 40卷 / 4期
关键词：
Financial economics; Financial markets; Nonlinearity; Structural breaks; Unit root tests;
D O I：
10.1007/s11156-012-0296-x
中图分类号：
学科分类号：
摘要：
This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series. © 2012 Springer Science+Business Media, LLC.
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页码：741 / 745
页数：4
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