Use this identifier to quote or link this document:

How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?
Aslanidis, Nektarios; Demiralp, Selva
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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.
33 - Economia
Tipus d'interès
Anàlisi de dades de panel
Crisi financera global, 2007-2009
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons:
36 p.
Working Paper
Universitat Rovira i Virgili. Departament d'Economia
Documents de treball del Departament d'Economia;2013-12

Full text files in this document

Files Size Format
201312.pdf 326.3 KB PDF

Show full item record