TY - UNPB
T1 - Statistical Evidence on the Mean Reversion of Interest Rates
AU - van den End, Jan Willem
PY - 2011
Y1 - 2011
N2 - Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend to revert to their long-term average value, long-term rates can persistently deviate from it. At the outside, we only find weak statistical evidence for mean reversion of long-term rates. Outcomes of smooth transition autoregressive ( STAR ) models for long-term interest rates, indicate that the speed of mean reversion is regime dependent, being stronger when rates are far from their equilibrium value.
AB - Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend to revert to their long-term average value, long-term rates can persistently deviate from it. At the outside, we only find weak statistical evidence for mean reversion of long-term rates. Outcomes of smooth transition autoregressive ( STAR ) models for long-term interest rates, indicate that the speed of mean reversion is regime dependent, being stronger when rates are far from their equilibrium value.
KW - C22
KW - C49
KW - G12
KW - interest rates
KW - statistical methods
KW - time-series models
UR - http://www.mendeley.com/research/statistical-evidence-mean-reversion-interest-rates
U2 - 10.2139/ssrn.1950596
DO - 10.2139/ssrn.1950596
M3 - Working paper
BT - Statistical Evidence on the Mean Reversion of Interest Rates
ER -