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How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries
HERYÁN, Tomáš; STAVÁREK, Daniel - In: European Financial and Accounting Journal 2010 (2010) 3, pp. 42-55
January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …
Persistent link: https://www.econbiz.de/10011195305
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One size does not fit all. A non-linear analysis of European monetary transmission
Cifarelli, Giulio; Paladino, Giovanna - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2014
/or stochastic structural breaks. We detect significant differences across countries. Cointegration between the Euribor and the long …
Persistent link: https://www.econbiz.de/10010942508
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Crédito, Exceso de Toma de Riesgo, Costo del Crédito y Ciclo Económico en Chile
Garcia, Carlos; Sagner, Andrés - ILADES, Facultad de Economía y Negocios - 2011
This paper studies the interaction between the business cycle and the credit market. A first result is that the business cycle has procyclical effects on different types of credit (i.e., consumer, commercial and mortgage loans). The results area obtained through the identification of structural...
Persistent link: https://www.econbiz.de/10010553255
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Regime Sensitive Cointegration with an Application to Interest rate Parity.
Siklos, P.L.; Granger, C.W.J. - Department of Economics, School of Business and Economics - 1997
)), and the presence of cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the … concept of regime sensitive cointegration whereby the underlying series need not be cointegrated at all times. We show that … cointegration can be switched off when a common stochastic trend is added. Alternatively, cointegration can be switched on or off …
Persistent link: https://www.econbiz.de/10005404478
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The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis
Henry, Jerome; Weidmann, Jens - University of Bonn, Germany - 1994
The EMS crisis of 1992-1993, which resulted in the widening of the exchange rate bands, may have had some impact on the long-run structure of the system consisting of daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, we find that both the US Eurorate and the...
Persistent link: https://www.econbiz.de/10004968284
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The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies
Mutu, Simona; Breşfelean, Vasile Paul; Göndör, Mihaela - Volkswirtschaftliche Fakultät, … - 2011
cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …
Persistent link: https://www.econbiz.de/10011258912
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Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
Soloschenko, Max; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2014
This paper deals with simultaneous interactions between the determinants of the US yield curve. For this purpose, we derive a multivariate unobserved components model based on the expectation hypothesis. The influencing factors of the term structure that arise from the structural model are a...
Persistent link: https://www.econbiz.de/10010897015
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Explaining the US bond yield conundrum
Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - University of Applied Sciences Amberg-Weiden (OTH) - 2007
model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction …
Persistent link: https://www.econbiz.de/10010985196
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The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010
Esteve, Vicente; Navarro-Ibáñez, Manuel; Prats, María A. - In: International Review of Economics & Finance 25 (2013) C, pp. 24-34
instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and … Kurozumi (2007) and Kejriwal (2008). The results obtained are consistent with the existence of linear cointegration between the …
Persistent link: https://www.econbiz.de/10011048276
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Regime Sensitive Cointegration with an Application to Interest rate Parity.
Siklos, P.L.; Granger, C.W.J. - School of Business and Economics, Wilfrid Laurier University - 1997
)), and the presence of cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the … concept of regime sensitive cointegration whereby the underlying series need not be cointegrated at all times. We show that … cointegration can be switched off when a common stochastic trend is added. Alternatively, cointegration can be switched on or off …
Persistent link: https://www.econbiz.de/10005656752