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Linearity and stationarity of G7 government bond returns

By Venus Khim-Sen Liew, Zhuo Qiao and Wing-Keung Wong

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.

Topics: G1 - General Financial Markets, N2 - Financial Markets and Institutions, C1 - Econometric and Statistical Methods and Methodology: General
Year: 2008
DOI identifier: 10.2139/ssrn.1673743
OAI identifier: oai:mpra.ub.uni-muenchen.de:24836

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