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Linearity and stationarity of G7 government bond returns

Author

Listed:
  • Liew, Venus Khim-Sen
  • Qiao, Zhuo
  • Wong, Wing-Keung
Abstract
This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets.

Suggested Citation

  • Liew, Venus Khim-Sen & Qiao, Zhuo & Wong, Wing-Keung, 2008. "Linearity and stationarity of G7 government bond returns," MPRA Paper 24836, University Library of Munich, Germany, revised 08 Sep 2010.
    • Handle: RePEc:pra:mprapa:24836
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    government bond returns; G7; linearity; stationarity; nonlinear;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • N2 - Economic History - - Financial Markets and Institutions
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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