Detalle Publicación

Persistence in US Treasury bonds

Título de la revista: FINANCE RESEARCH LETTERS
ISSN: 1544-6123
Volumen: 45
Páginas: 102189
Fecha de publicación: 2022
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.