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

Posted: 11 May 2000  

Hua Zhang

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

Yangru Wu

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

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

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

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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