Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/161828
Authors: 
Caporale, Guglielmo Maria
Carcel, Hector
Gil-Alana, Luis A.
Year of Publication: 
2017
Series/Report no.: 
CESifo Working Paper 6389
Abstract: 
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null cannot be rejected. Concerning the bivariate results, Australian interest rates are found to be cointegrated with the Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasingdegree of integration of international financial markets and the coordinated monetary policy responses following the global financial crisis might both account for such linkages.
Subjects: 
interest rates
long memory
fractional integration and cointegration
JEL: 
C22
C32
E47
Document Type: 
Working Paper

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