Linearity and stationarity of G7 government bond returns Report as inadecuate




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Abstract

This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. 1988 linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. 2003 nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets.



Item Type: MPRA Paper -

Original Title: Linearity and stationarity of G7 government bond returns-

Language: English-

Keywords: government bond returns; G7; linearity, stationarity; nonlinear-

Subjects: G - Financial Economics > G1 - General Financial MarketsN - Economic History > N2 - Financial Markets and InstitutionsC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General-





Author: Liew, Venus Khim-Sen

Source: https://mpra.ub.uni-muenchen.de/24836/



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