Nominal interest rates and stationarity

Cerrato, M., Kim, H. and MacDonald, R. (2013) Nominal interest rates and stationarity. Review of Quantitative Finance and Accounting, 40(4), pp. 741-745. (doi:10.1007/s11156-012-0296-x)

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Publisher's URL: http://dx.doi.org/10.1007/s11156-012-0296-x

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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Kim, Mr Hyunsok and Cerrato, Professor Mario and MacDonald, Professor Ronald
Authors: Cerrato, M., Kim, H., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Review of Quantitative Finance and Accounting
ISSN:0924-865X
ISSN (Online):1573-7179
Published Online:22 June 2012

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