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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.identifier.citationCaporale, 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.en_US
dc.description.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.en_US
dc.description.sponsorshipMINECO (Ministerio de Economía y Competitividad, Spain) research grant ECO2017-85503-R)en_US
dc.format.extent170 - 178-
dc.rights© 2019 The Authors. This is an open access article under the CC BY license (
dc.subjectlong-term interest ratesen_US
dc.subjectfractional integrationen_US
dc.subjectfractional cointegrationen_US
dc.titleLong-term interest rates in Europe: a fractional cointegration analysisen_US
dc.relation.isPartOfInternational Review of Economics and Finance-
Appears in Collections:Dept of Economics and Finance Research Papers

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