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Title of Journal: Rev Quant Finan Acc

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Abbravation: Review of Quantitative Finance and Accounting

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Springer US

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10.1007/978-3-8348-9121-1_15

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1573-7179

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Nominal interest rates and stationarity

Authors: Mario Cerrato Hyunsok Kim Ronald MacDonald
Publish Date: 2012/06/22
Volume: 40, Issue: 4, Pages: 741-745
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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

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