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.

引用

页码：741 / 745

页数：4

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