Has the Financial Crisis affected the Real Interest Rate Dynamics in Europe?

Autor:	Selva Demiralp, Nektarios Aslanidis
Rok vydání:	2020
Předmět:	Economics and Econometrics Monetary policy Stock price Unit root test Financial crisis Econometrics Economics Statistics Probability and Uncertainty Business and International Management Real interest rate Volatility (finance) Finance Public finance Statistical hypothesis testing
Zdroj:	Journal of Business Cycle Research. 16:1-18
ISSN:	2509-7970 2509-7962
DOI:	10.1007/s41549-020-00041-3
Popis:	We investigate the effects of the financial crisis on the stationarity of real interest rates for a group of Euro area countries. We use a new unit root test developed by Pesaran et al. (J Econom 115(1): 53–74, 2013) that allows for multiple unobserved factors in a panel set up. In this multifactor framework, we make use of a number of additional variables such as the stock price volatility and monetary policy expectations that are assumed to share common factors with the real interest rate. Based on recursive (Pesaran et al. 2013) test statistics, our results suggest that while short-term and long-term real interest rates were stationary before the financial crisis, they became non-stationary during the crisis period. Robustness analysis shows that the results are not sensitive to the use of ex-post real interest rates versus ex-ante real interest rates.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a9b6377a60e664ee7c3a2e3ce97f587a https://doi.org/10.1007/s41549-020-00041-3 Zobrazit plný text záznamu Full text from SpringerLink