Long-term interest rates in Europe: A fractional cointegration analysis
Keywords: 
Long-term interest rates
Fractional integration
Fractional cointegration
Issue Date: 
2019
Publisher: 
Elsevier BV
ISSN: 
1059-0560
Note: 
This is an open access article under the CC BY license (http://creativecommons.org/ licenses/by/4.0/).
Citation: 
Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.). "Long-term interest rates in Europe: A fractional cointegration analysis". International Review of Economics & Finance. 61 (2019), 2019, 170 - 178
Abstract
This paper uses fractional integration/cointegration techniques to examine the stochastic behaviour of long-term interest rates (on government securities with 10-year maturity) in 23 European countries as well as their long-run linkages on a pairwise basis over the period January 2001–February 2018. The results are mixed and sensitive to the (parametric and semi-parametric) estimation methods. Evidence is found for both unit roots and mean reversion in the series analysed. Various rates (especially in the case of smaller economies) appear to be fractionally cointegrated, but interestingly German, French and UK rates are not found to be linked to any other European rates.

Files in This Item:
Thumbnail
File
1-s2.0-S1059056017301442-main.pdf
Description
Size
559.44 kB
Format
Adobe PDF


Statistics and impact

Items in Dadun are protected by copyright, with all rights reserved, unless otherwise indicated.