RT Journal Article
T1 The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach
A1 Vides González, José Carlos
A1 Golpe Moya, Antonio Aníbal
A1 Iglesias Garrido, Jesús
AB In this paper, we consider the possibility that a fractionally cointegrated vector autoregressive (FCVAR) model could serve as a novel empirical tool for examining the US term structure of interest rates. This econometric approach allows one to test the existence of a long-run relationship between short- and long-term interest rates and spread persistence together. As one of the main contributions of this paper, we elaborate on new scenarios of the degree of noncontemplative EHTS fulfillment. Monthly time series are constructed with nine different maturities of interest rates for the period of 1993 to 2018. The results obtained contribute new scenarios not previously presented in the literature. We also find that the persistence of spread is the stronger the larger the difference in maturity is between considered interest rates, revealing a long memory process. Importantly, as the main implication of our study, we find that this persistence implies a gradual loss of controlling power over interest rates by FED.
PB Elsevier
SN 1059-0560
SN 1873-8036 (electrónico)
YR 2020
FD 2020-04-07
LK https://hdl.handle.net/10272/24816
UL https://hdl.handle.net/10272/24816
LA eng
NO Vides, J. C., Golpe, A. A., & Iglesias, J. (2020). The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. In International Review of Economics & Finance (Vol. 69, pp. 124–137). Elsevier BV. https://doi.org/10.1016/j.iref.2020.03.011
DS Repositorio Institucional de la Universidad de Huelva
RD 30 may 2026