Persistence and Cyclical Dependence in the Monthly Euribor Rate
Guglielmo Maria Caporale
Brunel University - Centre for Empirical Finance
Luis A. Gil-Alana
University of Navarra - Department of Economics
November 30, 2011
CESifo Working Paper Series No. 3653
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 behavior 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: 25
Keywords: Euribor rate, time dependence, cyclical behaviour
JEL Classification: C220, E300working papers series
Date posted: December 1, 2011
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