Detalle Publicación

ARTÍCULO
Long-term interest rates in Europe: A fractional cointegration analysis
Título de la revista: INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN: 1059-0560
Volumen: 61
Páginas: 170 - 178
Fecha de publicación: 2019
Lugar: WOS
Resumen:
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.