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Common Trends and Common Cycles among Interest Rates of the G7-Countries

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In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 to 2007. Overall we only find little evidence of comovements. Common trends are occasionally observed, but the majority of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European countries, common cycles appear to exist only in rare cases and cannot be generalized for all interest rates.

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File URL: http://www.iew.uni-osnabrueck.de/repec/iee/wpaper/12906260_WP_77.pdf
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Bibliographic Info

Paper provided by Institute of Empirical Economic Research in its series Working Papers with number 77.

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Length: 21
Date of creation: 19 Jan 2009
Date of revision:
Handle: RePEc:iee:wpaper:wp0077

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Keywords: Interest Rates; Comovement; Cointegration; Serial Correlation Common Feature; Codependence;

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Cited by:
  1. Hasan, Syed Akif & Subhani, Muhammad Imtiaz & Osman, Mohammad, 2012. "Co-movements of consumption patterns of high and low involvement products," MPRA Paper 37659, University Library of Munich, Germany.
  2. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "Do consumers buy bread and diamond with the same attachment?," MPRA Paper 45094, University Library of Munich, Germany.
  3. Bicu Andreea & Candelon Bertrand, 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

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