Nominal Interest Rates and Stationarity


Autoria(s): Cerrato, Mario; Kim, Hyunsok; MacDonald, Ronald
Data(s)

24/04/2012

24/04/2012

2010

Resumo

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.

Identificador

http://hdl.handle.net/10943/178

Publicador

University of Glasgow

Relação

SIRE DISCUSSION PAPER;SIRE-DP-2010-43

Tipo

Working Paper