Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
The Chinese University of Hong Kong (CUHK) - Department of Finance
Rutgers University, Newark - School of Business - Department of Finance & Economics
JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4, Part 1, November 1996
Previous studies show that the standard univariate unit root tests cannot reject the hypothesis that interest rates follow integrated processes. In this paper, we pool interest rate data of twelve OECD countries and implement a multivariate test. It is found that the unit root hypothesis can be decisively rejected.
JEL Classification: E40, C33
Date posted: May 11, 2000