How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?
| Contribuinte(s) |
Universitat Rovira i Virgili. Departament d'Economia Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
|---|---|
| Data(s) |
2013
|
| Resumo |
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. |
| Formato |
36 p. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Universitat Rovira i Virgili. Departament d'Economia |
| Relação |
Documents de treball del Departament d'Economia;2013-12 |
| Direitos |
info:eu-repo/semantics/openAccess 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/ |
| Fonte |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
| Palavras-Chave | #Tipus d'interès #Anàlisi de dades de panel #Crisi financera global, 2007-2009 #Eurozona #33 - Economia |
| Tipo |
info:eu-repo/semantics/workingPaper |
