Modeling International Long-Term Interest Rates
28 Pages Posted: 14 Apr 2003
There are 2 versions of this paper
Modeling International Long-Term Interest Rates
Abstract
This study investigates the relationship among interest rates on the long-term governments bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short-term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long-term interest rate series. Thus, when modeling or forecasting these central government long-term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate.
Keywords: interest rates, cointegration, government bonds
JEL Classification: G1, F3, E4, C3, A1
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
-
A Panic Attack on Unit Roots and Cointegration
By Jushan Bai and Serena Ng
-
Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey
By Badi H. Baltagi and Chihwa Kao
-
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
By Peter C. B. Phillips and Donggyu Sul
-
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
-
Testing for a Unit Root in Panels with Dynamic Factors
By Hyungsik Roger Moon and Benoit Perron
-
Testing for a Unit Root in Panels with Dynamic Factors
By Hyungsik Roger Moon and Benoit Perron
-
General Diagnostic Tests for Cross Section Dependence in Panels