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Título:
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How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?
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Autor/a:
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Aslanidis, Nektarios; Demiralp, Selva
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Otros autores:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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We investigate the effects of the financial crisis on the stationarity of real interest rates in the
Euro Area. We use a new unit root test developed by Peseran et al. (2013) that allows for
multiple unobserved factors in a panel set up. Our results suggest that while short-term and
long-term real interest rates were stationary before the financial crisis, they became nonstationary
during the crisis period likely due to persistent risk that characterized financial
markets during that time.
JEL codes: E43, C23.
Keywords: Real interest rates, Euro Area, financial crisis, panel unit root tests, cross-sectional
dependence. |
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Fecha de creación:
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2013 |
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Materias (CDU):
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33 - Economia |
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Materia(s):
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Tipus d'interès
Anàlisi de dades de panel
Crisi financera global, 2007-2009
Eurozona |
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Derechos:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
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Páginas:
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36 p. |
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Tipo de documento:
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Documento de trabajo |
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Editor:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2013-12
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Compartir:
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