Department of Economics
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
government bond returns, G7, nonlinear, linearity, stationarity
Source Publication Title
Link to Publisher's Edition
Liew, Venus Khim-Sen, Zhuo Qiao, and Wing Keung Wong. "Linearity and stationarity of G7 government bond returns." Economics Bulletin 30.4 (2010): 1-13.