Nominal interest rates and stationarity

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

Working Papers from Business School - Economics, University of Glasgow

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: 2010-05
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (2)

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Related works:
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:gla:glaewp:2010_17

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