Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
CESifo, Munich, 2022
CESifo Working Paper No. 9554
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.
Monetary Policy and International Finance
Empirical and Theoretical Methods