Nominal interest rates and stationarity

Original Research

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.

Keywords

Unit root tests Financial markets Financial economics Structural breaks Nonlinearity 

JEL Classification

G10 F30 E43 

Notes

Acknowledgments

We would like to thank Karim Abadir for his helpful comments and suggestions.

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Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of GlasgowGlasgowUK
  2. 2.Division of International Trade and EconomicsKorea Maritime UniversityBusanRepublic of Korea

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