Theoretical and Applied Economics
No. 3 / 2017 (612), Autumn
Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA
R&D Center, C/S Information Technologies, Istanbul, Turkey
Abstract. This study investigates the long-memory and self-similarity characteristics of the long-term government bond yields in Turkey and the USA. The Geweke-Porter-Hudak (GPH) log-periodogram regression method has been utilized to measure the long-term persistency in the bond yield returns and volatilities for the period between 28.02.2010 and 28.04.2017. The empirical results show that while bond yield returns have random walk behaviors their volatility dynamics can be represented by a long-memory process. The paper also puts forward that bond yield returns have scale invariant distributional features and fitted with a Levy-stable distribution.
Contents
The European Union's strategy for increasing the living conditions of the population in the member states
Does institutional environment affect the economic development? Evidence from selected CEE countries
Causality between economic policy uncertainty and exchange rate in China with considering quantile differences
An agency theory approach on Romanian listed companies’ capital structure
What impact has free trade area on economies of ASEAN-5 countries?
Is more government debt or currency depreciation expansionary? The case of Poland
Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA
Hard currency inflows and sterilization policy in Algeria: An ARDL approach
Evaluating Indian economy’s vulnerability to currency crisis
Impact of fiscal responsibility legislations on state finances in India
Does fiscal policy spur economic growth? Empirical evidence from Algeria
Financial conditions index (FCI), inflation and growth: Some evidence
On the effects of total productivity growth of economic freedom and total resource rents: The case of both natural resource rich and OECD countries