EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/53135
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2011-12-01en_US
dc.date.accessioned2011-12-14T12:18:29Z-
dc.date.available2011-12-14T12:18:29Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/53135-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Monetary Policy and International Finance 3653en_US
dc.subject.jelC22en_US
dc.subject.jelE30en_US
dc.subject.ddc330en_US
dc.subject.keywordEuribor rateen_US
dc.subject.keywordtime dependenceen_US
dc.subject.keywordcyclical behaviouren_US
dc.titlePersistence and cyclical dependence in the monthly Euribor rateen_US
dc.typeWorking Paperen_US
dc.identifier.ppn675947820en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
675947820.pdf215.39 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.