Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/14673
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaporale, GM-
dc.contributor.authorCarcel, H-
dc.date.accessioned2017-06-06T14:27:55Z-
dc.date.available2017-10-09-
dc.date.available2017-06-06T14:27:55Z-
dc.date.issued2017-
dc.identifier.citationInternational Economics, 2017en_US
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/14673-
dc.description.abstractThis paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null cannot be rejected. Concerning the bivariate results, Australian interest rates are found to be cointegrated with the Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasing degree of integration of international financial markets and the coordinated monetary policy responses following the global financial crisis might both account for such linkages.en_US
dc.language.isoenen_US
dc.subjectInterest Ratesen_US
dc.subjectLong memoryen_US
dc.subjectFractional integration and cointegration.en_US
dc.titleCentral bank policy rates: are they cointegrated?en_US
dc.typeArticleen_US
dc.relation.isPartOfInternational Economics-
pubs.publication-statusAccepted-
Appears in Collections:Dept of Economics and Finance Embargoed Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.docxEmbargoed until 2 years after publication91.88 kBUnknownView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.