Document Type

Journal Article

Department/Unit

Department of Economics

Language

English

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

Keywords

government bond returns, G7, nonlinear, linearity, stationarity

Publication Date

2010

Source Publication Title

Economics Bulletin

Volume

30

Issue

4

Start Page

1

End Page

13

Publisher

Economics Bulletin

Peer Reviewed

1

Link to Publisher's Edition

http://www.accessecon.com/pubs/eb/default.aspx?topic=Abstract&PaperID=EB-10-00110

ISSN (print)

15452921

Included in

Economics Commons

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