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1. Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Author

Caporale, Guglielmo Maria, Gil-Alana, Luis A., and Yaya, OlaOluwa Simon

Subjects
10-year bond yields, ddc:330, Fourier functions, persistence, non-linearities, Chebyshev polynomials, C22, US Treasury, E43
Abstract

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors.

Published
2022

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