Linearity and stationarity of G7 government bond returns

Venus Khim Sen Liew*, Zhuo Qiao, Wing Keung WONG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1-14
Number of pages14
JournalEconomics Bulletin
Volume30
Issue number4
Publication statusPublished - Oct 2010

Scopus Subject Areas

  • Economics, Econometrics and Finance(all)

User-Defined Keywords

  • government bond returns
  • G7
  • nonlinear
  • linearity
  • stationarity

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