Persistence in US Treasury bonds

Emmanuel Abakah and Luis Gil-Alana

Finance Research Letters, 2022, vol. 45, issue C

Abstract: This paper investigates the persistence in the US Treasury bond rate returns from 1946 to 2019 by using fractional integration. It is shown that the degree of integration of the series (and thus the level of persistence) reduces as we increase the time of the maturity rate from the 1- and 2-year rates to the 20- and 30-year bond rates.

Keywords: Persistence; Fractional integration; US Treasury bonds (search for similar items in EconPapers)
JEL-codes: C22 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002610

DOI: 10.1016/j.frl.2021.102189

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