Integration of Long-Term Interest Rates: Empirical Evidence for G7 Countries
GLOBAL ECONOMIC REVIEW, cilt.41, ss.279-290, 2012 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 41
- Basım Tarihi: 2012
- Doi Numarası: 10.1080/1226508x.2012.709995
- Dergi Adı: GLOBAL ECONOMIC REVIEW
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.279-290
- İstanbul Üniversitesi Adresli: Evet
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.