Persistence and Cyclical Dependence in the Monthly Euribor Rate

Guglielmo Maria Caporale and Luis Gil-Alana

No 1165, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical structure. Therefore, a more general cyclical fractional model is considered. Future directions for research in this context are also discussed.

Keywords: Euribor rate; time dependence; cyclical behaviour (search for similar items in EconPapers)
JEL-codes: C22 E3 (search for similar items in EconPapers)
Pages: 23 p.
Date: 2011
New Economics Papers: this item is included in nep-cis and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.387691.de/dp1165.pdf (application/pdf)

Related works:
Journal Article: Persistence and cyclical dependence in the monthly euribor rate (2016)
Working Paper: Persistence and Cyclical Dependence in the Monthly Euribor Rate (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1165

Access Statistics for this paper

More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().