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Mean reversion of short-run interest rates: empirical evidence from new EU countries

journal contribution
posted on 2023-06-08, 12:25 authored by Carlos P Barros, Luis Gil-Alana, Roman Matousek
This article deals with the analysis of the 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 (fractionally integrated) models, and employ non-parametric, semi-parametric and parametric techniques to check if our results are robust across different methods. The results indicate that the mean reversion only takes place in the case of Hungary. For the remaining countries, the short-term interest rates are clearly non-stationary and non-mean reverting. Allowing for one break in the data, the break date takes place about 2001/2003 in all the series except in Lithuania, where the break occurs in 2007. In general, we observe an increase in the degree of dependence after the break in the majority of the series.

History

Publication status

  • Published

Journal

The European Journal of Finance

ISSN

1351-847X

Publisher

Taylor & Francis

Issue

2

Volume

18

Page range

89-107

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-09-20

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