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Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization |
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| Authors: | Clive G Bowsher Roland Meeks |
| Institution: | 1. School of Mathematics , University of Bristol , Bristol , UK c.bowsher@bristol.ac.uk;3. Research Department , Federal Reserve Bank of Dallas , Dallas , TX , USA;4. Centre for Applied Macroeconomic Analysis , Australian National University , Canberra , Australia |
| Abstract: | |
| Keywords: | term structure of interest rates stationarity and nonstationarity integration vector autoregression expectations hypothesis long rate |