Abstract

https://ssrn.com/abstract=5110
 


 



Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries


Hua Zhang


The Chinese University of Hong Kong (CUHK) - Department of Finance

Yangru Wu


Rutgers University, Newark - School of Business - Department of Finance & Economics


JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4, Part 1, November 1996

Abstract:     
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


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Date posted: May 11, 2000  

Suggested Citation

Zhang, Hua and Wu, Yangru, Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries. JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4, Part 1, November 1996. Available at SSRN: https://ssrn.com/abstract=5110

Contact Information

Hua Zhang
The Chinese University of Hong Kong (CUHK) - Department of Finance ( email )
Shatin, N.T.
Hong Kong
Yangru Wu (Contact Author)
Rutgers University, Newark - School of Business - Department of Finance & Economics ( email )
1 Washington Park
Newark, NJ 07102
United States
973-353-1146 (Phone)
973-353-1006 (Fax)
HOME PAGE: http://andromeda.rutgers.edu/~yangruwu
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