Arbeitspapier
Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 9554
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Interest Rates: Determination, Term Structure, and Effects
- Subject
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non-linearities
Chebyshev polynomials
Fourier functions
persistence
US Treasury
10-year bond yields
- Event
-
Geistige Schöpfung
- (who)
-
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Yaya, OlaOluwa Simon
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Gil-Alana, Luis A.
- Yaya, OlaOluwa Simon
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2022
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