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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26577
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| Title: | | Common trends and common cycles among interest rates of the G7-countries  |
| Authors: | | Lindenberg, Nannette Westermann, Frank |
| Issue Date: | | 2009 |
| Series/Report no.: | | CESifo working paper 2532 |
| Abstract: | | In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 to 2007. Overall we only find little evidence of comovements. Common trends are occasionally observed, but the majority of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European countries, common cycles appear to exist only in rare cases and cannot be generalized for all interest rates. |
| Subjects: | | Interest rates comovement cointegration serial correlation common feature codependence |
| JEL: | | C22 E43 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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