Research on Long-term Memory of Interest Rate Fluctuations in Korea Using Wavelet OLS (in Korean)

Hyun Joung Jin () and Jun Mo Park
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Hyun Joung Jin: Chung-Ang University
Jun Mo Park: Chung-Ang University

Economic Analysis (Quarterly), 2007, vol. 13, issue 2, 156-187

Abstract: The paper analyzes whether long-term memory exists in daily fluctuations of eight kinds of bond interest rates (interest rates on debt securities), namely currency bonds, corporate bonds, government bonds, financial bonds, national bonds, CP, CD and Call during the period January 1990 to June 2006, using the recently-developed Wavelet OLS. According to the results, the statistically significant coefficient of fractional difference is estimated from the data of the fluctuations of seven interest rates, i.e. excluding CP, and the coefficient of long-term memory comes within the range of -0.5

Keywords: Bond market; interest rates data; long-term memory; fractional difference; wavelet OLS (search for similar items in EconPapers)
JEL-codes: G10 Q14 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:13:y:2007:i:2:p:156-187

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