The purpose of the paper is to suggest a modelling strategy that can be used to study the process of pairwise convergence within time series analysis. Moving from the works of Bernard (1992) and Bernard and Durlauf (1995), we specify an I(1) cointegrated model characterized by broken linear trends, and we identify the driving force leading to convergence as a common stochastic trend, but the results are unsatisfactory. Then we deal the same question of time series convergence within I(2) cointegration analysis, allowing for broken linear trends and an I(2) common stochastic trend as the driving force. The results obtained with this second specification are encouraging and satisfactory. The suggested modelling strategy is applied to the convergence of long-term bond markets in the Economic and Monetary Union (EMU), that we observe during the years covering the second stage, that is the period from 1993 to the end of 1998, before the introduc-tion of euro. During the third stage, started in 1999 and continuing, the markets show a tendency to move together and to behave similarly.

Time Series Convergence within I(2) Models: the Case of Weekly Long Term Bond Yields in the Four Largest Euro Area Countries / Passamani, Giuliana. - STAMPA. - (2012), pp. 217-226. [10.1007/978-3-642-21037-2]

Time Series Convergence within I(2) Models: the Case of Weekly Long Term Bond Yields in the Four Largest Euro Area Countries

Passamani, Giuliana
2012-01-01

Abstract

The purpose of the paper is to suggest a modelling strategy that can be used to study the process of pairwise convergence within time series analysis. Moving from the works of Bernard (1992) and Bernard and Durlauf (1995), we specify an I(1) cointegrated model characterized by broken linear trends, and we identify the driving force leading to convergence as a common stochastic trend, but the results are unsatisfactory. Then we deal the same question of time series convergence within I(2) cointegration analysis, allowing for broken linear trends and an I(2) common stochastic trend as the driving force. The results obtained with this second specification are encouraging and satisfactory. The suggested modelling strategy is applied to the convergence of long-term bond markets in the Economic and Monetary Union (EMU), that we observe during the years covering the second stage, that is the period from 1993 to the end of 1998, before the introduc-tion of euro. During the third stage, started in 1999 and continuing, the markets show a tendency to move together and to behave similarly.
2012
Advanced Statistical Methods for the Analysis of Large Data-Sets
Berlin
Springer-Verlag
9783642210365
Passamani, Giuliana
Time Series Convergence within I(2) Models: the Case of Weekly Long Term Bond Yields in the Four Largest Euro Area Countries / Passamani, Giuliana. - STAMPA. - (2012), pp. 217-226. [10.1007/978-3-642-21037-2]
File in questo prodotto:
File Dimensione Formato  
Passamani_Springer_revision_October_2010.pdf

Solo gestori archivio

Descrizione: Articolo principale
Tipologia: Post-print referato (Refereed author’s manuscript)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 191.92 kB
Formato Adobe PDF
191.92 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11572/92067
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact