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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)

  • Maria 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 (2009) 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: ftp://147.156.210.157/RePEc/pdf/eec_1001.pdf
File Function: First version, 2010
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Bibliographic Info

Paper provided by Department of Applied Economics II, Universidad de Valencia in its series Working Papers with number 1001.

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Length: 23 pages
Date of creation: Jun 2010
Date of revision:
Handle: RePEc:eec:wpaper:1001

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Related research

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

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References

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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.

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