Persistence and Cyclical Dependence in the Monthly Euribor Rate

Guglielmo Maria Caporale and Luis Gil-Alana

No 3653, CESifo Working Paper Series from CESifo

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 E30 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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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)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_3653

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