Nominal interest rates and stationarity
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.
KeywordsUnit root tests Financial markets Financial economics Structural breaks Nonlinearity
JEL ClassificationG10 F30 E43
We would like to thank Karim Abadir for his helpful comments and suggestions.
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