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Persistence and cyclical dependence in the monthly euribor rate

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  • Guglielmo Caporale
  • Luis Gil-Alana

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

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  • Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
    • Handle: RePEc:spr:jecfin:v:40:y:2016:i:1:p:157-171
    DOI: 10.1007/s12197-014-9296-0
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    Cited by:

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    More about this item

    Keywords

    Euribor rate; Time dependence; Cyclical behaviour; C22; E3;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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