The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010
AbstractIn this paper we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Spanish term structure of interest rates. Our methodology is based on 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 long and the short run Spanish interest rates. However, our empirical results also show that the cointegrating relationship has changed over time. In particular, the Kejriwal–Perron tests for testing multiple structural breaks in cointegrated regression models suggest a model of two regimes.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 25 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/620165
Term structure of interest rates; Cointegration; Multiple structural breaks;
Other versions of this item:
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2010. "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers 10-08, Asociación Española de Economía y Finanzas Internacionales.
- Vicente Esteve & Manuel Navarro-Ibáñez & Maria A. Prats, 2010. "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers 1001, Department of Applied Economics II, Universidad de Valencia.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005.
"Testing the Null of Cointegration with Structural Breaks,"
DEA Working Papers
10, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2006. "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 623-646, October.
- Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
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