Details
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 2503–2538 |
Seitenumfang | 36 |
Fachzeitschrift | Empirical economics |
Jahrgang | 67 |
Ausgabenummer | 6 |
Frühes Online-Datum | 12 Juni 2024 |
Publikationsstatus | Veröffentlicht - Dez. 2024 |
Abstract
In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
ASJC Scopus Sachgebiete
- Mathematik (insg.)
- Statistik und Wahrscheinlichkeit
- Mathematik (insg.)
- Mathematik (sonstige)
- Sozialwissenschaften (insg.)
- Sozialwissenschaften (sonstige)
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Empirical economics, Jahrgang 67, Nr. 6, 12.2024, S. 2503–2538.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - The stability of government bond markets’ equilibrium and the interdependence of lending rates
AU - Rodrigues, Paulo M.M.
AU - Sibbertsen, Philipp
AU - Voges, Michelle
N1 - Publisher Copyright: © The Author(s) 2024.
PY - 2024/12
Y1 - 2024/12
N2 - In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
AB - In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
KW - C12
KW - C32
KW - Changing long-run equilibrium
KW - Fractional cointegration
KW - Hassler–Breitung test
KW - Persistence breaks
UR - http://www.scopus.com/inward/record.url?scp=85195657815&partnerID=8YFLogxK
U2 - 10.1007/s00181-024-02623-x
DO - 10.1007/s00181-024-02623-x
M3 - Article
AN - SCOPUS:85195657815
VL - 67
SP - 2503
EP - 2538
JO - Empirical economics
JF - Empirical economics
SN - 0377-7332
IS - 6
ER -