Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
Posted: 11 May 2000
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: 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
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