Non-linearities and persistence in US long-run interest rates

Guglielmo Maria Caporale, Luis Gil-Alana and Miguel Ángel Martin-Valmayor

Applied Economics Letters, 2022, vol. 29, issue 4, 366-370

Abstract: This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from Bloomberg including end-of-the-month values over the period January 1962-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation results indicate that both are highly persistent and exhibit non-linearities, the latter being more pronounced in the case of the ECB series. Also, there is no conclusive evidence of the presence of structural breaks.

Date: 2022
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Working Paper: Non-Linearities and Persistence in US Long-Run Interest Rates (2020)
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DOI: 10.1080/13504851.2021.1897511

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