An empirical analysis of nonstationarity in a panel of interest rates with factors

Benoit Perron and Hyungsik Roger Moon ()
Additional contact information
Benoit Perron: Département de sciences économiques, CIREQ and CIRANO, Université de Montréal, Montreal, Quebec, Canada, Postal: Département de sciences économiques, CIREQ and CIRANO, Université de Montréal, Montreal, Quebec, Canada

Journal of Applied Econometrics, 2007, vol. 22, issue 2, pages 383-400

Abstract: This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional dependence within the panel as a linear dynamic factor model, and decompose our data into common and idiosyncratic components that we analyze in turn. Our results suggest the presence of a single nonstationary factor in our panel. Since some of the idiosyncratic components are stationary, we conclude that these series are cointegrated. Finally, the dominant factors can be interpreted as level and slope factors as in the term structure literature. Copyright © 2007 John Wiley & Sons, Ltd.

View list of references

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.931 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2007-v22.2/ Supporting data files and programs (text/html)

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

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().