Since 2014
TESTING THE HOMOGENEOUS INTEREST RATES ASSUMPTION BY PRINCIPAL COMPONENT ANALYSIS: THE EURO AREA CASE
Ekonomika
View Archive Info| Field | Value | |
| Title |
TESTING THE HOMOGENEOUS INTEREST RATES ASSUMPTION BY PRINCIPAL COMPONENT ANALYSIS: THE EURO AREA CASE
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| Creator |
Stelmach, Jerzy
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| Description |
Although there are many different interest rates in the economy, in theoretical and applied model building these distinctions are usually ignored by assuming that there is only one, “true” interest rate. Hence, the aim of this article is twofold. First, we empirically examine whether such assumption is plausible for the Euro area yield curve data. Second, using different time spans we try to assess the impact of the financial crisis on the validity of this assumption. For both purposes, the principal component analysis technique will be employed.
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| Publisher |
Vilniaus universiteto Ekonomikos fakultetas / Vilnius University Faculty of Economics
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| Date |
2010-01-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.zurnalai.vu.lt/ekonomika/article/view/977
10.15388/Ekon.2010.0.977 |
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| Source |
Ekonomika; Ekonomika 2010 89(3)
1392-1258 1392-1258 |
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| Language |
lit
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| Relation |
http://www.zurnalai.vu.lt/ekonomika/article/view/977/498
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| Rights |
Autorinės teisės (c) 2014 Ekonomika
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