Article
Nonlinearities and chaos in bond market aggregates
Accounting and Financial Studies Journal
(2002)
Abstract
There are many reasons to expect the possible influence of chaotic dynamics in bond yield movements, whether it is Fed's policies, institutional trading programs, or evolutionary dynamics in the economy at play. This study attempts to detect the presence of low dimensional deterministic chaos in bond yield movements by examining four bond market aggregates. Evidence indicates an earlier presence of deterministic nonlinearity in the corporate bond funds that appears to have disappeared in recent years. No such evidence is evident for Treasury bonds. To the individual investor, this paper ends with a heartening note that, at least during recent times, the examined bond markets seem to have provided fairly priced bonds.
Keywords
- Business,
- Finance,
- Bond Market,
- Nonlinearities
Disciplines
Publication Date
2002
Citation Information
Vivek Pandey. "Nonlinearities and chaos in bond market aggregates" Accounting and Financial Studies Journal Vol. 6 Iss. 1 (2002) p. 105 - 123 Available at: http://works.bepress.com/vivek-pandey/21/