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

Kiran B.

GLOBAL ECONOMIC REVIEW, vol.41, pp.279-290, 2012 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 41
  • Publication Date: 2012
  • Doi Number: 10.1080/1226508x.2012.709995
  • Journal Name: GLOBAL ECONOMIC REVIEW
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.279-290
  • Istanbul University Affiliated: Yes

Abstract

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.