The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010

Vicente Esteve (), Manuel Navarro-Ibáñez () and Maria Prats

No 10-08, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the term structure model of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2010) as well as the cointegration test in Arai and Kurozumi (2007) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration.

Keywords: Term structure of interest rates; Cointegration; Multiple Structural Breaks. (search for similar items in EconPapers)
JEL-codes: C32 E43 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2010-11
New Economics Papers: this item is included in nep-fmk and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010 (2013)
Working Paper: The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010 (2010)
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