Persistence and Cyclical Dependence in the Monthly Euribor Rate

26 Pages Posted: 28 Oct 2011  

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Date Written: October 1, 2011

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.

Keywords: Euribor rate, time dependence, cyclical behaviour

JEL Classification: C22, E3

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: https://ssrn.com/abstract=1950593 or http://dx.doi.org/10.2139/ssrn.1950593

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex 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/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

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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