How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?
AbstractWe investigate the effects of the financial crisis on the stationarity of real interest rates in the Euro Area. We use a new unit root test developed by Peseran et al. (2013) that allows for multiple unobserved factors in a panel set up. Our results suggest that while short-term and long-term real interest rates were stationary before the financial crisis, they became nonstationary during the crisis period likely due to persistent risk that characterized financial markets during that time. JEL codes: E43, C23. Keywords: Real interest rates, Euro Area, financial crisis, panel unit root tests, cross-sectional dependence.
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Bibliographic InfoPaper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/211885.
Date of creation: 2013
Date of revision:
Tipus d'interès; Anàlisi de dades de panel; Crisi financera global; 2007-2009; Eurozona; 33 - Economia;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
- NEP-CBA-2013-06-16 (Central Banking)
- NEP-EEC-2013-06-16 (European Economics)
- NEP-OPM-2013-06-16 (Open Economy Macroeconomics)
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