Show simple item record

dc.contributor.authorRughoo, Aarti
dc.contributor.authorSarantis, Nicholas
dc.date.accessioned2015-03-17T10:18:43Z
dc.date.available2015-03-17T10:18:43Z
dc.date.issued2011
dc.identifier.citationRughoo , A & Sarantis , N 2011 ' Structural Breaks and Convergence in the European Retail Banking Sector ' Centre for EMEA Banking, Finance and Economics Working Paper Series .
dc.identifier.otherPURE: 8259186
dc.identifier.otherPURE UUID: f647255c-2b74-4812-8f07-8264bb14c7b1
dc.identifier.urihttp://hdl.handle.net/2299/15628
dc.description.abstractThe aim of this paper is to investigate the convergence process in the European retail banking sector by analysing monthly deposit and lending data sets for the household and non-financial corporations sectors, the two sectors of retail banking, for the period 1991 to 2008. One of the main contributions of this paper is the application of the stochastic multiple structural break model developed by Bai and Perron (1998). This methodology is chosen in order to verify whether the interest rate data have been subject to structural change and whether the timings in the break dates coincide with significant events in the history of European banking. The second contribution of this paper is to test for convergence in the interest rate data by employing the Pesaran (2007) panel unit root tests while allowing for structural breaks. The findings show that the retail interest rate data have between two to four breaks which tend to be clustered around specific events such as new EU legislation. In addition, it is revealed that the presence of structural breaks materially affect the convergence results.en
dc.format.extent37
dc.language.isoeng
dc.relation.ispartofseriesCentre for EMEA Banking, Finance and Economics Working Paper Series
dc.titleStructural Breaks and Convergence in the European Retail Banking Sectoren
dc.contributor.institutionHertfordshire Business School
dc.contributor.institutionSocial Sciences, Arts & Humanities Research Institute
dc.contributor.institutionDepartment of Accounting, Finance and Economics
rioxxterms.versionAM
rioxxterms.typeWorking paper


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record