Common change-points in long-term UK bond yields, 1870--1914: a piecewise linear trends approach

Gawon Yoon

Applied Economics Letters, 2013, vol. 20, issue 13, 1254-1258

Abstract: This article estimates common structural breaks among four long-term UK bond yields, which shared a V-shaped trending behaviour during the sample period of 1870 to 1914. By applying the new inference procedure proposed by Qu and Perron (2007) for structural breaks in multivariate regressions, we find that the four bond yields had six common change-points and that the estimated common piecewise linear trend well represents their long-run movements.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2013.802084 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:20:y:2013:i:13:p:1254-1258

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2013.802084

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().