Please use this identifier to cite or link to this item: http://hdl.handle.net/10071/7501
Author(s): Ferreira, N. B.
Menezes, R.
Bentes, S.
Date: 2014
Title: Cointegration and Structural Breaks in the EU Sovereign Debt Crisis
Volume: 4
Number: 1
Pages: 680 - 690
ISSN: 2047-0916
Keywords: Stock Markets Indices
Interest Rates
Structural Breaks
Cointegration
EU Sovereign Debt Crisis
Abstract: First signs of a sovereign debt crisis spread among financial players in the late 2009 as a result of the growing private and government debt levels worldwide. Late 2010, Trichet (then President of the ECB) stated that the sovereign debt crisis in Europe had become systemic. In an established crisis context, it was searched for evidence of structural breaks and cointegration between interest rates and stock market prices. A 13 year time-window was used in six European markets under stress. The results identified significant structural breaks at the end of 2010 and consistently rejected the null hypothesis of no cointegration.
Peerreviewed: yes
Access type: Open Access
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Files in This Item:
File Description SizeFormat 
911-3169-1-PB.pdfVersão Editora317,58 kBAdobe PDFView/Open


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis Logotipo do Orcid 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.