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

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.

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Year of publication:	2022
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis A. ; Yaya, OlaOluwa Simon
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	non-linearities \| Chebyshev polynomials \| Fourier functions \| persistence \| US Treasury \| 10-year bond yields

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Series:	CESifo Working Paper ; 9554
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1789176883 [GVK] hdl:10419/252071 [Handle] RePec:ces:ceswps:_9554 [RePEc]
Classification:	C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	EconStor

Persistent link: https://www.econbiz.de/10013177588