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The term structure of interest rates in the 12 newest EU countries

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  • Minoas Koukouritakis
  • Leo Michelis

Abstract

This article uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates for the 10 new EU countries, along with Bulgaria and Romania. The empirical results support the expectations theory of the term structure for all countries except Malta. By decomposing each term structure into its transitory and permanent components, we also analyse short-run and long-run interdependence among the term structures of interest rates in these countries. Our results indicate only weak linkages among the term structures of the 10 new EU countries and strong linkages between Bulgaria and Romania joined the EU in 2007.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 40 (2008)
Issue (Month): 4 ()
Pages: 479-490

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Handle: RePEc:taf:applec:v:40:y:2008:i:4:p:479-490

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Cited by:
  1. Shigeyuki Hamori & Naoko Hamori, 2009. "International term structure of interest rates in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1113-1116.
  2. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
  3. Ioana Alexopoulou & Irina Bunda & Annalisa Ferrando, 2010. "Determinants of Government Bond Spreads in New EU Countries," Eastern European Economics, M.E. Sharpe, Inc., vol. 48(5), pages 5-37, September.
  4. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(4), pages 757-774, January.
  5. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, vol. 67(3), pages 243-258.

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