Full metadata record
DC Field | Value | Language |
---|---|---|
dc.creator | Caporale, G.M. (Guglielmo M.) | - |
dc.creator | Gil-Alana, L.A. (Luis A.) | - |
dc.date.accessioned | 2022-02-03T08:06:48Z | - |
dc.date.available | 2022-02-03T08:06:48Z | - |
dc.date.issued | 2019 | - |
dc.identifier.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 | es_ES |
dc.identifier.issn | 1059-0560 | - |
dc.identifier.uri | https://hdl.handle.net/10171/62873 | - |
dc.description.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. | es_ES |
dc.description.sponsorship | The second named author acknowledges financial support from the MINECO (Ministerio de Economía y Competitividad, Spain) research grant ECO2017-85503-R) | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier BV | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.subject | Long-term interest rates | es_ES |
dc.subject | Fractional integration | es_ES |
dc.subject | Fractional cointegration | es_ES |
dc.title | Long-term interest rates in Europe: A fractional cointegration analysis | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.note | This is an open access article under the CC BY license (http://creativecommons.org/ licenses/by/4.0/). | es_ES |
dc.identifier.doi | 10.1016/j.iref.2019.02.004 | - |
dadun.citation.endingPage | 178 | es_ES |
dadun.citation.number | 2019 | es_ES |
dadun.citation.publicationName | International Review of Economics & Finance | es_ES |
dadun.citation.startingPage | 170 | es_ES |
dadun.citation.volume | 61 | es_ES |
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