Details
| Original language | English |
|---|---|
| Number of pages | 36 |
| Journal | Empirical economics |
| Early online date | 12 Jun 2024 |
| Publication status | E-pub ahead of print - 12 Jun 2024 |
Abstract
In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
Keywords
- C12, C32, Changing long-run equilibrium, Fractional cointegration, Hassler–Breitung test, Persistence breaks
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Mathematics(all)
- Mathematics (miscellaneous)
- Social Sciences(all)
- Social Sciences (miscellaneous)
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Empirical economics, 12.06.2024.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - The stability of government bond markets’ equilibrium and the interdependence of lending rates
AU - Rodrigues, Paulo M.M.
AU - Sibbertsen, Philipp
AU - Voges, Michelle
N1 - Publisher Copyright: © The Author(s) 2024.
PY - 2024/6/12
Y1 - 2024/6/12
N2 - In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
AB - In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091–1111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.
KW - C12
KW - C32
KW - Changing long-run equilibrium
KW - Fractional cointegration
KW - Hassler–Breitung test
KW - Persistence breaks
UR - http://www.scopus.com/inward/record.url?scp=85195657815&partnerID=8YFLogxK
U2 - 10.1007/s00181-024-02623-x
DO - 10.1007/s00181-024-02623-x
M3 - Article
AN - SCOPUS:85195657815
JO - Empirical economics
JF - Empirical economics
SN - 0377-7332
ER -