Mean reversion in US and international short rates

Charlotte Christiansen

The North American Journal of Economics and Finance, 2010, vol. 21, issue 3, 286-296

Abstract: We extend the CKLS one factor short rate model to include nonlinear mean reversion in a new way. We allow for extreme value mean reversion by including the smallest short rate during the previous year in the mean equation. The US short rate is found to exhibit extreme value mean reversion. The evidence of mean reversion varies across the short rates in the US and five other major markets (Canada, Germany, Japan, Switzerland, and the UK).

Keywords: Short; term; interest; rate; Mean; reversion; Extreme; value; Nonlinearity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Working Paper: Mean Reversion in US and International Short Rates (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:21:y:2010:i:3:p:286-296

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