Mean reversion in interest rates: new evidence from a panel of OECD countries.(Organization for Economic Cooperation and Development): An article from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on November 1, 1996. The length of the article is 5408 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, we pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. (JEI Classification Numbers: E40, C33)

From the supplier: Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, we pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected. (Reprinted by permission of the publisher.)

Citation Details
Title: Mean reversion in interest rates: new evidence from a panel of OECD countries.(Organization for Economic Cooperation and Development)
Author: Yangru Wu
Publication:Journal of Money, Credit & Banking (Refereed)
Date: November 1, 1996
Publisher: Ohio State University Press
Volume: v28 Issue: n4 Page: p604(18)

Distributed by Thomson Gale