Abstract
This paper investigates the persistence in the US Treasury bond rate returns from 1946 to 2019 by using fractional integration. It is shown that the degree of integration of the series (and thus the level of persistence) reduces as we increase the time of the maturity rate from the 1- and 2-year rates to the 20- and 30-year bond rates.
Original language | English |
---|---|
Article number | 102189 |
Journal | Finance Research Letters |
Volume | 45 |
DOIs | |
Publication status | Published - Mar 2022 |
Externally published | Yes |
Keywords
- Fractional integration
- Persistence
- US Treasury bonds