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The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010

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Author Info

  • Vicente Esteve

    (Universidad de Valencia and Universidad de La Laguna, Spain)

  • Manuel Navarro-Ibáñez

    (Universidad de La Laguna, Spain)

  • María A. Prats

    (Universidad de Murcia, Spain)

Abstract

In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the term structure model of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2010) as well as the cointegration test in Arai and Kurozumi (2007) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration.

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File URL: http://www.aeefi.com/RePEc/pdf/defi10-08.pdf
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Bibliographic Info

Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 10-08.

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Length: 22 pages
Date of creation: Nov 2010
Date of revision:
Handle: RePEc:aee:wpaper:1008

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Keywords: Term structure of interest rates; Cointegration; Multiple Structural Breaks.;

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  1. 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.
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Cited by:
  1. 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.
  2. Erten, Irem & Okay, Nesrin, 2012. "Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011," MPRA Paper 56191, University Library of Munich, Germany.

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