The stability of government bond markets’ equilibrium and the interdependence of lending rates

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Paulo M.M. Rodrigues
  • Philipp Sibbertsen
  • Michelle Voges

Externe Organisationen

  • Zentralbank von Portugal
  • Universidade Nova de Lisboa
Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
Seiten (von - bis)2503–2538
Seitenumfang36
FachzeitschriftEmpirical economics
Jahrgang67
Ausgabenummer6
Frühes Online-Datum12 Juni 2024
PublikationsstatusVeröffentlicht - 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

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The stability of government bond markets’ equilibrium and the interdependence of lending rates. / Rodrigues, Paulo M.M.; Sibbertsen, Philipp; Voges, Michelle.
in: Empirical economics, Jahrgang 67, Nr. 6, 12.2024, S. 2503–2538.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Rodrigues PMM, Sibbertsen P, Voges M. The stability of government bond markets’ equilibrium and the interdependence of lending rates. Empirical economics. 2024 Dez;67(6):2503–2538. Epub 2024 Jun 12. doi: 10.1007/s00181-024-02623-x
Rodrigues, Paulo M.M. ; Sibbertsen, Philipp ; Voges, Michelle. / The stability of government bond markets’ equilibrium and the interdependence of lending rates. in: Empirical economics. 2024 ; Jahrgang 67, Nr. 6. S. 2503–2538.
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