Abstract

http://ssrn.com/abstract=1950593
 
 

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Persistence and Cyclical Dependence in the Monthly Euribor Rate


Guglielmo Maria Caporale


London South Bank University; Brunel University - Brunel Business School; CESifo (Center for Economic Studies and Ifo Institute)

Luis A. Gil-Alana


University of Navarra - Department of Economics

October 1, 2011

DIW Berlin Discussion Paper No. 1165

Abstract:     
This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account its cyclical structure. Therefore, a more general cyclical fractional model is considered. Future directions for research in this context are also discussed.

Number of Pages in PDF File: 26

Keywords: Euribor rate, time dependence, cyclical behaviour

JEL Classification: C22, E3

working papers series


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Date posted: October 28, 2011  

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A., Persistence and Cyclical Dependence in the Monthly Euribor Rate (October 1, 2011). DIW Berlin Discussion Paper No. 1165. Available at SSRN: http://ssrn.com/abstract=1950593 or http://dx.doi.org/10.2139/ssrn.1950593

Contact Information

Guglielmo Maria Caporale (Contact Author)
London South Bank University ( email )
Centre for Monetary and Financial Economics
London
United Kingdom
Brunel University - Brunel Business School ( email )
Kingston Lane Uxbridge
Middlesex, West London
Uxbridge, UB8 3PH, London UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)
HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
Luis A. Gil-Alana
University of Navarra - Department of Economics ( email )
Campus de Arrosadia
Pamplona, 31006
Spain
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