The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010

In this paper we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Spanish term structure of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and Perron...

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Veröffentlicht in:	International review of economics & finance 2013-01, Vol.25, p.24-34
Hauptverfasser:	Esteve, Vicente, Navarro-Ibáñez, Manuel, Prats, María A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration Cointegration analysis Economic models Interest rates Multiple structural breaks Studies Term structure of interest rates
Online-Zugang:	Volltext
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