Persistence and cyclical dependence in the monthly euribor rate

Guglielmo Maria Caporale and Luis Gil-Alana

Journal of Economics and Finance, 2016, vol. 40, issue 1, 157-171

Abstract: This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the Euribor rate, using monthly data from January 1994 to May 2011. Two models are considered, one with fractional integration at the long run or zero frequency, and the other replacing the zero frequency with a cyclical one. The results indicate that the latter outperforms the former as well as other standard specifications. Future directions for research (such as nonlinearities, volatility behaviour, and multivariate models) are also discussed. Copyright Springer Science+Business Media New York 2016

Keywords: Euribor rate; Time dependence; Cyclical behaviour; C22; E3 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1007/s12197-014-9296-0 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Persistence and Cyclical Dependence in the Monthly Euribor Rate (2011)
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:spr:jecfin:v:40:y:2016:i:1:p:157-171

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-014-9296-0

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().