Integration of Long-Term Interest Rates: Empirical Evidence for G7 Countries


Kiran B.

GLOBAL ECONOMIC REVIEW, cilt.41, ss.279-290, 2012 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 41
  • Basım Tarihi: 2012
  • Doi Numarası: 10.1080/1226508x.2012.709995
  • Dergi Adı: GLOBAL ECONOMIC REVIEW
  • Sayfa Sayıları: ss.279-290

Özet

This article investigates the fractional cointegration relationship between long-term interest rates of G7 countries over the period from 1990: 01 to 2010: 04 by estimating the cointegrating regressions for possible bivariate, trivariate and four-variate subsystems as well as the full system. The obtained results indicate that long-term interest rates are fractionally cointegrated for bivariate subsystems of Canada-France, Canada-Japan and Canada-UK and four-variate subsystem of Canada-USA-France-UK, implying integration.