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Title: | Long-term interest rates in Europe: a fractional cointegration analysis |
Authors: | Caporale, GM Gil-Alana, LA |
Keywords: | long-term interest rates;fractional integration;fractional cointegration |
Issue Date: | 8-Feb-2019 |
Publisher: | Elsevier |
Citation: | Caporale, G.M. and Gil-Alana, L. (2019) 'Long-term interest rates in Europe: a fractional cointegration analysis', International Review of Economics and Finance, 61, pp. 170 - 178. doi: 10.1016/j.iref.2019.02.004. |
Abstract: | © 2019 The Authors. 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. |
URI: | https://bura.brunel.ac.uk/handle/2438/17661 |
DOI: | https://doi.org/10.1016/j.iref.2019.02.004 |
ISSN: | 1059-0560 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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