An Alternative Mean Reversion Test for Interest Rates
| dc.contributor.author | Ozel, Ozgur | |
| dc.contributor.author | Ilalan, Deniz | |
| dc.date.accessioned | 2025-10-06T17:36:35Z | |
| dc.date.available | 2025-10-06T17:36:35Z | |
| dc.date.issued | 2018 | |
| dc.description | Ilalan, Deniz/0000-0002-0905-2304; | |
| dc.description.abstract | A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates. (C) 2017 Central Bank of The Republic of Turkey. Production and hosting by Elsevier B.V. | |
| dc.identifier.doi | 10.1016/j.cbrev.2017.12.001 | |
| dc.identifier.issn | 1303-0701 | |
| dc.identifier.issn | 1305-8800 | |
| dc.identifier.scopus | 2-s2.0-85064180452 | |
| dc.identifier.uri | https://doi.org/10.1016/j.cbrev.2017.12.001 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/15657 | |
| dc.language.iso | en | |
| dc.publisher | Central Bank Republic Turkey | |
| dc.relation.ispartof | Central Bank Review | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.subject | Interest Rates | |
| dc.subject | Unit Root | |
| dc.subject | Mean Reversion | |
| dc.title | An Alternative Mean Reversion Test for Interest Rates | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Ilalan, Deniz/0000-0002-0905-2304 | |
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| gdc.author.wosid | Ilalan, Deniz/E-6399-2018 | |
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| gdc.coar.access | open access | |
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| gdc.description.department | Çankaya University | |
| gdc.description.departmenttemp | [Ozel, Ozgur] Cent Bank Republ Turkey, TCMB Idare Merkezi Arastirma & Para, Ankara, Turkey; [Ilalan, Deniz] Cankaya Univ, Dept Banking & Finance, Eskisehir Yolu 29 Km,Mimar Sinan Cad 4, TR-06530 Ankara, Turkey | |
| gdc.description.endpage | 39 | |
| gdc.description.issue | 1 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
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| gdc.description.startpage | 35 | |
| gdc.description.volume | 18 | |
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| gdc.oaire.keywords | Interest rates | |
| gdc.oaire.keywords | Mean reversion | |
| gdc.oaire.keywords | Economics as a science | |
| gdc.oaire.keywords | Unit root | |
| gdc.oaire.keywords | ddc:330 | |
| gdc.oaire.keywords | HG1501-3550 | |
| gdc.oaire.keywords | HG1-9999 | |
| gdc.oaire.keywords | HB71-74 | |
| gdc.oaire.keywords | Finance | |
| gdc.oaire.keywords | Banking | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
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| gdc.virtual.author | İlalan, Deniz | |
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