Integration of Long-Term Interest Rates: Empirical Evidence for G7 Countries
Global Economic Review, 2012, vol. 41, issue 3, 279-290
This article investigates the fractional cointegration relationship between long-term interest rates of G7 countries over the period from 1990:01 to 2010:04 by estimating the cointegrating regressions for possible bivariate, trivariate and four-variate subsystems as well as the full system. The obtained results indicate that long-term interest rates are fractionally cointegrated for bivariate subsystems of Canada--France, Canada--Japan and Canada--UK and four-variate subsystem of Canada--USA--France--UK, implying integration.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:glecrv:v:41:y:2012:i:3:p:279-290
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