Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/252071 
Year of Publication: 
2022
Series/Report no.: 
CESifo Working Paper No. 9554
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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.
Subjects: 
non-linearities
Chebyshev polynomials
Fourier functions
persistence
US Treasury
10-year bond yields
JEL: 
C22
E43
Document Type: 
Working Paper
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