Sep 21, 2012

Articles in journals

Barros, C., Gil-Alana, L., Matousek, R.

18

18

This article deals with analysis of mean reversion property of short term interest rates in Central and Eastern european countries using daily data from january 2000 to December 2008. For this purpose we use long memory (fractional integrated) models, and employ nonparametric semiparmetric and parametric techniques to check if our results are robust across different methods. The results indicate that mean reversion only takes place in the case of Hungary. For the remaing countries the short run interest rates are clearly non-stationary and non-mean reverting. Allowing for one brake in the data, the break date takes place around 2001/2003 in all series, except in Lithuania, where the break occurs in 2007. In general we observe an increase in degree of dependence after the break in the majority of the series.

Interest rate,Mean Reversion,EU,