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Mean reversion of short-run interest rates: Empirical evidence from new EU countries

Barros, Carlos P., Gil-Alana, Luis, Matousek, Roman (2012) Mean reversion of short-run interest rates: Empirical evidence from new EU countries. European Journal of Finance, 18 (2). pp. 89-107. ISSN 1351-847X. (doi:10.1080/1351847X.2011.601659) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1080/1351847X.2011.601659

Abstract

This article deals with the analysis of the mean reversion property of short-term interest rates in Central and Eastern European countries, using daily data from January 2000 to December 2008. For this purpose, we use long memory (fractionally integrated) models, and employ non-parametric, semi-parametric and parametric techniques to check if our results are robust across different methods. The results indicate that the mean reversion only takes place in the case of Hungary. For the remaining countries, the short-term interest rates are clearly non-stationary and non-mean reverting. Allowing for one break in the data, the break date takes place about 2001/2003 in all the series except in Lithuania, where the break occurs in 2007. In general, we observe an increase in the degree of dependence after the break in the majority of the series. © 2012 Copyright Taylor and Francis Group, LLC.

Item Type: Article
DOI/Identification number: 10.1080/1351847X.2011.601659
Additional information: Unmapped bibliographic data: AD - UECE (Research Unit on Complexity and Economics), Instituto Superior de Economia e Gestão, Technical University of Lisbon, Lisbon, Portugal [Field not mapped to EPrints] AD - Department of Economics, University of Navarra, Pamplona, Spain [Field not mapped to EPrints] AD - Centre for EMEA Banking, Finance and Economics, London Metropolitan Business School, London Metropolitan University, London, United Kingdom [Field not mapped to EPrints] JA - Eur. J. Financ. [Field not mapped to EPrints]
Uncontrolled keywords: EU, interest rate, mean reversion
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 08 Apr 2014 14:38 UTC
Last Modified: 29 May 2019 12:04 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/39086 (The current URI for this page, for reference purposes)
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