Random Walks in World Money Rates

13 Pages Posted: 2 Feb 2011

See all articles by Nan-Ting Kuo

Nan-Ting Kuo

National Central University at Taiwan

William H. Dare

Oklahoma State University - Tulsa

William P. Dukes

Texas Tech University - Rawls College of Business

Christopher K. Ma

Stetson University - Department of Finance

Abstract

Interest rate changes in major industrialized countries are examined and found to exhibit significant deviations from random walks. When measured over short horizons, interest rate changes demonstrate significant negative serial correlation. As the time horizon is extended, the negative dependencies decline and interest rate changes approach random walks. In general, the evidence suggests that short-term interest rate changes in major industrialized countries follow a mean-reverting process.

Keywords: interest rates, random walks, memory, mean reverting, persistence

Suggested Citation

Kuo, Nan-Ting and Dare, William H. and Dukes, William P. and Ma, Christopher K., Random Walks in World Money Rates. Journal of Business Finance & Accounting, Vol. 23, No. 9-10, pp. 1453-1465, 2008. Available at SSRN: https://ssrn.com/abstract=1753453 or http://dx.doi.org/10.1111/1468-5957.00088

Nan-Ting Kuo (Contact Author)

National Central University at Taiwan ( email )

No. 300, Zhongda Road
Chung-Li Taiwan, 32054
Taiwan

William H. Dare

Oklahoma State University - Tulsa ( email )

700 North Greenwood
Tulsa, OK 74106
United States

William P. Dukes

Texas Tech University - Rawls College of Business ( email )

Lubbock, TX 79409
United States
806-742-3419 (Phone)
806-742-2099 (Fax)

Christopher K. Ma

Stetson University - Department of Finance ( email )

Gulfport, FL 33707
United States

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