Persistence and cyclical dependence in the monthly Euribor rate

Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2012) Persistence and cyclical dependence in the monthly Euribor rate. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2012 (33). pp. 1-24.

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Abstract

This 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.

Item Type: Article
Uncontrolled Keywords: Centre for EMEA Banking, Finance and Economics Working Paper Series; Euribor rate; time dependence; cyclical behaviour
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 17 Apr 2015 09:35
Last Modified: 20 Apr 2015 08:41
URI: http://repository.londonmet.ac.uk/id/eprint/392

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