Non-linearities and persistence in US long-run interest rates
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DOI: 10.1080/13504851.2021.1897511
Abstract: ABSTRACT This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest… read more here.
Keywords: linearities persistence; persistence long; non linearities; long run ... See more keywords