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 journalJournal articlepeer-review

    8 Citations (Scopus)
    10 Downloads (Pure)


    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)2642-2655
    Number of pages14
    JournalEconomics Bulletin
    Issue number4
    Publication statusPublished - 9 Oct 2010

    Scopus Subject Areas

    • Economics, Econometrics and Finance(all)

    User-Defined Keywords

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


    Dive into the research topics of 'Linearity and stationarity of G7 government bond returns'. Together they form a unique fingerprint.

    Cite this