Authors
Hyungsik Roger Moon, Benoit Perron
Publication date
2007/3
Journal
Journal of Applied Econometrics
Volume
22
Issue
2
Pages
383-400
Publisher
John Wiley & Sons, Ltd.
Description
This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross‐sectional dependence within the panel as a linear dynamic factor model, and decompose our data into common and idiosyncratic components that we analyze in turn. Our results suggest the presence of a single nonstationary factor in our panel. Since some of the idiosyncratic components are stationary, we conclude that these series are cointegrated. Finally, the dominant factors can be interpreted as level and slope factors as in the term structure literature. Copyright © 2007 John Wiley & Sons, Ltd.
Total citations
Scholar articles
HR Moon, B Perron - Journal of Applied Econometrics, 2007
An empirical analysis of nonstationarity in panels of exchange rates and interest rates with factors*
HR Moon, B Perron - 2005
HR Moon, P Perron - manuscript, USC, 2003