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Investigating multiple changes in persistence in international yields

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journal contribution
posted on 2015-03-06, 14:46 authored by Simeon ColemanSimeon Coleman, Kavita SirichandKavita Sirichand
Although better information about the dynamics of the yields on financial assets is decisive for both borrowers and lenders alike it is not uncommon for researchers to employ standard unit-root tests to determine the extent of the persistence and based on such results, treat the entire series as either stationary or non-stationary. In this paper, using weekly data of yields in four international markets – Canada, the UK, the US and the euro area – from March 1997 to October 2013, and employing an approach which allows us to identify regime switches between periods of I(0) versus I(1) behaviour, we provide empirical evidence for the realistic possibility that yields may, in fact, have changing persistence over time. Our results identify and compare, for each market and several maturities, the time variation properties in the dynamics of the yield curves. Some economic implications of our results are discussed.

History

School

  • Business and Economics

Department

  • Business

Published in

Economic Issues

Volume

20

Issue

1

Citation

COLEMAN, S. and SIRICHAND, K., 2015. Investigating multiple changes in persistence in international yields. Economic Issues, 20(1), pp.65-90.

Publisher

© Economic Issues

Version

  • VoR (Version of Record)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2015

Notes

This article was published in Economic Issues: http://www.economicissues.org.uk/

Language

  • en