2011
DOI: 10.2139/ssrn.1950596
|View full text |Cite
|
Sign up to set email alerts
|

Statistical Evidence on the Mean Reversion of Interest Rates

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1

Citation Types

0
3
0

Year Published

2016
2016
2022
2022

Publication Types

Select...
6
1

Relationship

0
7

Authors

Journals

citations
Cited by 7 publications
(3 citation statements)
references
References 40 publications
0
3
0
Order By: Relevance
“…Economic theory predominantly assumes that interest rates are (in the long run) mean reverting. But statistical evidence is not so clear (van den End, 2011). The mainstream literature says that unit roots can not be rejected, which would imply that interest rates are not mean reverting (Campbell & Shiller, 1991;Rose, 1988;Siklos & Wohar, 1997;Stock & Watson, 1988).…”
Section: Datamentioning
confidence: 99%
“…Economic theory predominantly assumes that interest rates are (in the long run) mean reverting. But statistical evidence is not so clear (van den End, 2011). The mainstream literature says that unit roots can not be rejected, which would imply that interest rates are not mean reverting (Campbell & Shiller, 1991;Rose, 1988;Siklos & Wohar, 1997;Stock & Watson, 1988).…”
Section: Datamentioning
confidence: 99%
“…Economic theory predominantly assumes that interest rates are (in the long run) mean reverting. But statistical evidence is not so clear [29]. The mainstream literature says that unit roots can not be rejected, which would imply that interest rates are not mean reverting [24,22,25,4].…”
Section: Datamentioning
confidence: 99%
“…This study uses a data set including 73 variables that could potentially be relevant to explaining Gibson's paradox in the Netherlands over the period 1800-2012. The series have been obtained from following sources: Zanden & Riel (2000), Zanden & Lindblad (1989), Smits, Horlings, & Van Zanden (2000), Hart, Jonker, & van Zanden (2010), van Bochove & Huitker (1987, Netherland (2010), (Netherland, 2012), CBS -Historical series -Publications (2013), International Institute of Social History (2013), Homer & Sylla (2011), Jacobs & Smits (2001), Barro & Ursua, (2008), Officer & Williamson (2013, Bos (2008), Groote, Albers, & De Jong (1996), Homepage Statistics -De Nederlandsche Bank (2013), van den End (2011).…”
Section: Data Sources and Descriptionmentioning
confidence: 99%