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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Empirical Economics [ISSN:] 1435-8921 [Volume:] 67 [Issue:] 6 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2024 [Pages:] 2503-2538
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Fractional cointegration
Persistence breaks
Hassler–Breitung test
Changing long-run equilibrium
JEL: 
C12
C32
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Dokumentart: 
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Dokumentversion: 
Published Version

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