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

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

No 1001, Working Papers from Department of Applied Economics II, Universidad de Valencia

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 (2009) 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: 23 pages
Date: 2010-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://repecsrv.uv.es/paper/RePEc/pdf/eec_1001.pdf First version, 2010 (application/pdf)

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)
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:eec:wpaper:1001

Access Statistics for this paper

More papers in Working Papers from Department of Applied Economics II, Universidad de Valencia Contact information at EDIRC.
Bibliographic data for series maintained by Vicente Esteve ().