Nominal interest rates and stationarity

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

Review of Quantitative Finance and Accounting, 2013, vol. 40, issue 4, 745 pages

Abstract: This paper investigates the (break) stationarity null hypothesis using data for 25 interest rates with different maturities and risk characteristics in Canada and the US. In contrast to a large part of the literature, this paper reports strong empirical evidence in favour of the null hypothesis of stationarity for the interest rate series. Copyright Springer Science+Business Media, LLC 2013

Keywords: Unit root tests; Financial markets; Financial economics; Structural breaks; Nonlinearity; G10; F30; E43 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Working Paper: Nominal Interest Rates and Stationarity (2010)
Working Paper: Nominal interest rates and stationarity (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:40:y:2013:i:4:p:741-745

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DOI: 10.1007/s11156-012-0296-x

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