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The Term Structures of Interest Rates in the New and Prospective EU Countries

Author

Listed:
  • Minoas Koukouritakis

    (Department of Economics, University of Crete, Greece)

  • Leo Michelis

    (Department of Economics, Ryerson University, Toronto, Canada)

Abstract

This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates for the 10 new EU countries, along with Bulgaria and Romania. The empirical results support the expectations theory of the term structure for all countries except Malta. By decomposing each term structure into its transitory and permanent components, we also analyze short run and long run interdependence among the term structures of interest rates in these countries. Our results indicate weak linkages among the term structures of the 10 new EU countries, and strong linkages between Bulgaria and Romania that hope to join the EU in 2007.

Suggested Citation

  • Minoas Koukouritakis & Leo Michelis, 2005. "The Term Structures of Interest Rates in the New and Prospective EU Countries," Working Papers 0505, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0505
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Term Structure; EU Enlargement; Cointegration; Common Trends; Granger Causality;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F15 - International Economics - - Trade - - - Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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