Integration of Long-Term Interest Rates: Empirical Evidence for G7 Countries
AbstractThis article investigates the fractional cointegration relationship between long-term interest rates of G7 countries over the period from 1990:01 to 2010:04 by estimating the cointegrating regressions for possible bivariate, trivariate and four-variate subsystems as well as the full system. The obtained results indicate that long-term interest rates are fractionally cointegrated for bivariate subsystems of Canada--France, Canada--Japan and Canada--UK and four-variate subsystem of Canada--USA--France--UK, implying integration.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Global Economic Review.
Volume (Year): 41 (2012)
Issue (Month): 3 (September)
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