dc.contributor
Universitat Rovira i Virgili. Departament d'Economia
dc.contributor
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.contributor.author
Aslanidis, Nektarios
dc.contributor.author
Demiralp, Selva
dc.date.accessioned
2013-06-03T15:42:58Z
dc.date.accessioned
2024-12-10T13:33:51Z
dc.date.available
2013-06-03T15:42:58Z
dc.date.available
2024-12-10T13:33:51Z
dc.identifier.uri
http://hdl.handle.net/2072/211885
dc.description.abstract
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.
eng
dc.format.extent
36 p.
cat
dc.publisher
Universitat Rovira i Virgili. Departament d'Economia
cat
dc.relation.ispartofseries
Documents de treball del Departament d'Economia;2013-12
dc.rights
info:eu-repo/semantics/openAccess
dc.rights
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/
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Tipus d'interès
cat
dc.subject.other
Anàlisi de dades de panel
cat
dc.subject.other
Crisi financera global, 2007-2009
cat
dc.subject.other
Eurozona
cat
dc.title
How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?
cat
dc.type
info:eu-repo/semantics/workingPaper
cat
