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
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
Date posted: October 28, 2011
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