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The stability of government bond markets’ equilibrium and the interdependence of lending rates
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Orientador(es)
Resumo(s)
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.
Descrição
Publisher Copyright: © The Author(s) 2024.
Palavras-chave
C12 C32 Changing long-run equilibrium Fractional cointegration Hassler–Breitung test Persistence breaks Statistics and Probability Mathematics (miscellaneous) Social Sciences (miscellaneous) Economics and Econometrics