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The Term Structure of Interest Rates in the New and Prospective EU Countries

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Koukouritakis, Minoas; Michelis, Leo

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Abstract This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of the term structure of interest rates for the 10 new EU countries, along with Bulgaria and Romania. The empirical results support the expectations theory of the term structure for all countries except Malta. By decomposing each term structure into its transitory and permanent components, we also analyze short run and long run interdependence among the term structures of interest rates in these countries. Our results indicate only weak linkages among the term structures of the 10 new EU countries, and strong linkages between Bulgaria and Romania that hope to join the EU in 2007.
Document language English
Publication Year 2008
Page/Pages p. 479-490
Journal Applied Economics, 40 (2008) 4
DOI http://dx.doi.org/10.1080/00036840600690249
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
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