Nominal interest rates and stationarity

Cerrato, Mario; Kim, Hyunsok; MacDonald, Ronald
May 2013
Review of Quantitative Finance & Accounting;May2013, Vol. 40 Issue 4, p741
Academic Journal
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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