Modeling International Long‐Term Interest Rates
研究了五个发达国家长期政府债券利率之间的关系，发现它们之间几乎没有协整关系，因此建模或预测时可将数据差分处理，而不适用误差修正模型。
Abstract This study investigates the relationship among interest rates on the long‐term government bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short‐term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long‐term interest rate series. Thus, when modeling or forecasting these central government long‐term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate.