Nominal Interest Rates and Stationarity

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

No 2010-43, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

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.

Date: 2010
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Journal Article: Nominal interest rates and stationarity (2013)
Working Paper: Nominal interest rates and stationarity (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:178

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