Integration of International Long-Term Interest Rates: A Fractional Cointegration Analysis

Posted: 10 Aug 1998

See all articles by Ming-Shiun Pan

Ming-Shiun Pan

Shippensburg University - Department of Finance and Management Information & Analysis

Paul Hsueh

National Chung Cheng University

Abstract

In this study, we re-examine the relationship among interest rates on the long-term government bonds of five industrialized countries. Using both the variance ratio test and fractional cointegration analysis, we find significant evidence that indicates the five government bond rates are fractionally cointegrated. In specific, our results show that the error correction term of the system of the five interest rates follows a mean-reverting, fractionally integrated process.

JEL Classification: E43, G12

Suggested Citation

Pan, Ming-Shiun and Hsueh, Paul, Integration of International Long-Term Interest Rates: A Fractional Cointegration Analysis. Financial Review, Vol. 33, No. 3, August 1998. Available at SSRN: https://ssrn.com/abstract=103108

Ming-Shiun Pan (Contact Author)

Shippensburg University - Department of Finance and Management Information & Analysis ( email )

Shippensburg University
Shippensburg, PA 17257
United States
717-477-1683 (Phone)
717-477-4067 (Fax)

Paul Hsueh

National Chung Cheng University ( email )

160 SAN-HSING, MIN-HSIUNG
Min-Shiung, Chia-Yi 621
Taiwan ROC
(05) 2720411-25 (Phone)

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