{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,30]],"date-time":"2026-04-30T10:35:33Z","timestamp":1777545333098,"version":"3.51.4"},"reference-count":76,"publisher":"Springer Science and Business Media LLC","issue":"6","license":[{"start":{"date-parts":[[2024,6,12]],"date-time":"2024-06-12T00:00:00Z","timestamp":1718150400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2024,6,12]],"date-time":"2024-06-12T00:00:00Z","timestamp":1718150400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"funder":[{"DOI":"10.13039\/501100004115","name":"Gottfried Wilhelm Leibniz Universit\u00e4t Hannover","doi-asserted-by":"crossref","id":[{"id":"10.13039\/501100004115","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Empir Econ"],"published-print":{"date-parts":[[2024,12]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional cointegrating relationship in a segment of the data. We base the proposed tests on the supremum of the Hassler and Breitung (Econom Theor 22(6):1091\u20131111, 2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new tests correctly standardized converge to the supremum of a Chi-squared distribution and that this convergence is uniform. An in-depth Monte Carlo analysis provides results on the finite sample performance of our tests. We then use the new procedures to investigate whether there was a dissolution of fractional cointegrating relationships between the yields of government bonds of eleven EMU countries (Spain, Italy, Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands, Germany and France) as a consequence of the European debt crisis and to understand the degree of interdependence of lending rates to non-financial corporations across these eleven countries.<\/jats:p>","DOI":"10.1007\/s00181-024-02623-x","type":"journal-article","created":{"date-parts":[[2024,6,12]],"date-time":"2024-06-12T21:01:23Z","timestamp":1718226083000},"page":"2503-2538","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["The stability of government bond markets\u2019 equilibrium and the interdependence of lending rates"],"prefix":"10.1007","volume":"67","author":[{"given":"Paulo M. M.","family":"Rodrigues","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3644-3420","authenticated-orcid":false,"given":"Philipp","family":"Sibbertsen","sequence":"additional","affiliation":[]},{"given":"Michelle","family":"Voges","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2024,6,12]]},"reference":[{"key":"2623_CR1","unstructured":"Abad P, Chuli\u00e1 H (2014) European government bond market integration in turbulent times. IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics"},{"issue":"12","key":"2623_CR2","doi-asserted-by":"publisher","first-page":"2851","DOI":"10.1016\/j.jbankfin.2009.10.009","volume":"34","author":"P Abad","year":"2010","unstructured":"Abad P, Chulia H, Gomez-Puig M (2010) Emu and European government bond market integration. J Bank Finance 34(12):2851\u20132860","journal-title":"J Bank Finance"},{"issue":"2","key":"2623_CR3","doi-asserted-by":"publisher","first-page":"270","DOI":"10.1111\/j.1468-036X.2011.00633.x","volume":"20","author":"P Abad","year":"2014","unstructured":"Abad P, Chulia H, Gomez-Puig M (2014) Time-varying integration in European government bond markets. Eur Financ Manag 20(2):270\u2013290","journal-title":"Eur Financ Manag"},{"key":"2623_CR4","doi-asserted-by":"publisher","first-page":"253","DOI":"10.1111\/j.1467-9892.1994.tb00190.x","volume":"15","author":"C Agiakloglou","year":"1994","unstructured":"Agiakloglou C, Newbold P (1994) Lagrange multiplier tests for fractional difference. J Time Ser Anal 15:253\u2013262","journal-title":"J Time Ser Anal"},{"issue":"1","key":"2623_CR5","doi-asserted-by":"publisher","first-page":"9","DOI":"10.1016\/0304-4076(94)01682-8","volume":"70","author":"DW Andrews","year":"1996","unstructured":"Andrews DW, Lee I, Ploberger W (1996) Optimal changepoint tests for normal linear regression. J Econom 70(1):9\u201338","journal-title":"J Econom"},{"issue":"4","key":"2623_CR6","doi-asserted-by":"publisher","first-page":"509","DOI":"10.1093\/oxrep\/grh030","volume":"20","author":"L Baele","year":"2004","unstructured":"Baele L, Ferrando A, H\u00f6rdahl P, Krylova E, Monnet C (2004) Measuring European financial integration. Oxf Rev Econ Policy 20(4):509\u2013530","journal-title":"Oxf Rev Econ Policy"},{"issue":"1","key":"2623_CR7","doi-asserted-by":"publisher","first-page":"47","DOI":"10.2307\/2998540","volume":"66","author":"J Bai","year":"1998","unstructured":"Bai J, Perron P (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66(1):47\u201378","journal-title":"Econometrica"},{"issue":"5","key":"2623_CR8","doi-asserted-by":"publisher","first-page":"827","DOI":"10.1080\/14697688.2017.1419734","volume":"18","author":"T Basse","year":"2018","unstructured":"Basse T, Wegener C, Kunze F (2018) Government bond yields in Germany and Spain-empirical evidence from better days. Quant Finance 18(5):827\u2013835","journal-title":"Quant Finance"},{"issue":"2","key":"2623_CR9","doi-asserted-by":"publisher","first-page":"469","DOI":"10.1353\/mcb.2006.0024","volume":"38","author":"CF Baum","year":"2006","unstructured":"Baum CF, Barkoulas J (2006) Dynamics of intra-ems interest rate linkages. J Money Credit Bank 38(2):469\u2013482","journal-title":"J Money Credit Bank"},{"issue":"3","key":"2623_CR10","doi-asserted-by":"publisher","first-page":"925","DOI":"10.1093\/rfs\/hhm088","volume":"22","author":"A Beber","year":"2009","unstructured":"Beber A, Brandt MW, Kavajecz KA (2009) Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market. Rev Financ Stud 22(3):925\u2013957","journal-title":"Rev Financ Stud"},{"issue":"3","key":"2623_CR11","doi-asserted-by":"publisher","first-page":"627","DOI":"10.1093\/biomet\/83.3.627","volume":"83","author":"J Beran","year":"1996","unstructured":"Beran J, Terrin N (1996) Testing for a change of the long-memory parameter. Biometrika 83(3):627\u2013638","journal-title":"Biometrika"},{"issue":"1","key":"2623_CR12","doi-asserted-by":"publisher","first-page":"233","DOI":"10.1093\/biomet\/86.1.233","volume":"86","author":"J Beran","year":"1999","unstructured":"Beran J, Terrin N (1999) Amendments and corrections: testing for a change of the long-memory parameter. Biometrika 86(1):233\u2013233","journal-title":"Biometrika"},{"issue":"2","key":"2623_CR13","doi-asserted-by":"publisher","first-page":"167","DOI":"10.1016\/S0304-4076(02)00091-X","volume":"110","author":"J Breitung","year":"2002","unstructured":"Breitung J, Hassler U (2002) Inference on the cointegration rank in fractionally integrated processes. J Econom 110(2):167\u2013185","journal-title":"J Econom"},{"issue":"3","key":"2623_CR14","doi-asserted-by":"publisher","first-page":"367","DOI":"10.1111\/j.1468-0475.2009.00480.x","volume":"11","author":"U Busch","year":"2010","unstructured":"Busch U, Nautz D (2010) Controllability and persistence of money market rates along the yield curve: evidence from the euro area. German Econ Rev 11(3):367\u2013380","journal-title":"German Econ Rev"},{"issue":"1","key":"2623_CR15","doi-asserted-by":"publisher","first-page":"33","DOI":"10.1016\/j.jeconom.2003.10.028","volume":"123","author":"F Busetti","year":"2004","unstructured":"Busetti F, Taylor AR (2004) Tests of stationarity against a change in persistence. J Econom 123(1):33\u201366","journal-title":"J Econom"},{"key":"2623_CR16","doi-asserted-by":"crossref","unstructured":"aporale GM, Kalyvitis S, Pittis N (1996) Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS. J Macroecon 18(4):693\u2013714","DOI":"10.1016\/S0164-0704(96)80059-0"},{"key":"2623_CR17","doi-asserted-by":"publisher","first-page":"170","DOI":"10.1016\/j.iref.2019.02.004","volume":"61","author":"GM Caporale","year":"2019","unstructured":"Caporale GM, Gil-Alana LA (2019) Long-term interest rates in Europe: a fractional cointegration analysis. Int Rev Econ Finance 61:170\u2013178","journal-title":"Int Rev Econ Finance"},{"issue":"511","key":"2623_CR18","doi-asserted-by":"publisher","first-page":"408","DOI":"10.1111\/j.1468-0297.2006.01086.x","volume":"116","author":"SG Cecchetti","year":"2006","unstructured":"Cecchetti SG, Flores-Lagunes A, Krause S (2006) Has monetary policy become more efficient? A cross-country analysis. Econ J 116(511):408\u2013433","journal-title":"Econ J"},{"issue":"463","key":"2623_CR19","doi-asserted-by":"publisher","first-page":"629","DOI":"10.1198\/016214503000000530","volume":"98","author":"WW Chen","year":"2003","unstructured":"Chen WW, Hurvich CM (2003) Semiparametric estimation of multivariate fractional cointegration. J Am Stat Assoc 98(463):629\u2013642","journal-title":"J Am Stat Assoc"},{"key":"2623_CR20","doi-asserted-by":"publisher","first-page":"191","DOI":"10.1016\/j.jbankfin.2014.01.022","volume":"42","author":"C Christiansen","year":"2014","unstructured":"Christiansen C (2014) Integration of European bond markets. J Bank Finance 42:191\u2013198","journal-title":"J Bank Finance"},{"issue":"2","key":"2623_CR21","doi-asserted-by":"publisher","first-page":"313","DOI":"10.1111\/j.1468-5957.1995.tb00687.x","volume":"22","author":"AD Clare","year":"1995","unstructured":"Clare AD, Maras M, Thomas SH (1995) The integration and efficiency of international bond markets. J Bus Finance Account 22(2):313\u2013322","journal-title":"J Bus Finance Account"},{"key":"2623_CR22","doi-asserted-by":"crossref","unstructured":"Clare A, Lekkos I (2000) An analysis of the relationship between international bond markets. Bank of England working papers, Bank of England","DOI":"10.2139\/ssrn.258021"},{"issue":"11","key":"2623_CR23","doi-asserted-by":"publisher","first-page":"2498","DOI":"10.1016\/j.csda.2010.01.028","volume":"54","author":"J Davidson","year":"2010","unstructured":"Davidson J, Monticini A (2010) Tests for cointegration with structural breaks based on subsamples. Comput Stat Data Anal 54(11):2498\u20132511","journal-title":"Comput Stat Data Anal"},{"issue":"1","key":"2623_CR24","doi-asserted-by":"publisher","first-page":"176","DOI":"10.1017\/S0266466608080092","volume":"24","author":"M Demetrescu","year":"2008","unstructured":"Demetrescu M, Kuzin V, Hassler U (2008) Long memory testing in the time domain. Econom Theor 24(1):176\u2013215","journal-title":"Econom Theor"},{"issue":"3","key":"2623_CR25","doi-asserted-by":"publisher","first-page":"420","DOI":"10.1162\/003465398557654","volume":"80","author":"M Dueker","year":"1998","unstructured":"Dueker M, Startz R (1998) Maximum-likelihood estimation of fractional cointegration with an application to U.S. and Canadian bond rates. Rev Econ Stat 80(3):420\u2013426","journal-title":"Rev Econ Stat"},{"issue":"2","key":"2623_CR26","doi-asserted-by":"publisher","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"RF Engle","year":"1987","unstructured":"Engle RF, Granger CW (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica 55(2):251\u2013276","journal-title":"Econometrica"},{"issue":"443","key":"2623_CR27","doi-asserted-by":"publisher","first-page":"956","DOI":"10.1111\/j.1468-0297.1997.tb00002.x","volume":"107","author":"CA Favero","year":"1997","unstructured":"Favero CA, Giavazzi F, Spaventa L (1997) High yields: the spread on German interest rates. Econ J 107(443):956\u2013985","journal-title":"Econ J"},{"issue":"1","key":"2623_CR28","doi-asserted-by":"publisher","first-page":"107","DOI":"10.1017\/S0022109009990494","volume":"45","author":"C Favero","year":"2010","unstructured":"Favero C, Pagano M, von Thadden E-L (2010) How does liquidity affect government bond yields? J Financ Quant Anal 45(1):107\u2013134","journal-title":"J Financ Quant Anal"},{"issue":"2","key":"2623_CR29","doi-asserted-by":"publisher","first-page":"517","DOI":"10.1214\/aos\/1176349936","volume":"14","author":"R Fox","year":"1986","unstructured":"Fox R, Taqqu MS (1986) Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Ann Stat 14(2):517\u2013532","journal-title":"Ann Stat"},{"issue":"2","key":"2623_CR30","doi-asserted-by":"publisher","first-page":"171","DOI":"10.1023\/B:EUFI.0000035191.62455.32","volume":"8","author":"A Geyer","year":"2004","unstructured":"Geyer A, Kossmeier S, Pichler S (2004) Measuring systematic risk in emu government yield spreads. Rev Finance 8(2):171\u2013197","journal-title":"Rev Finance"},{"key":"2623_CR31","doi-asserted-by":"crossref","unstructured":"Giraitis L, Leipus R (1994) A posteriori and sequential methods of change-point detection in FARIMA-type time series. In: Probability theory and mathematical statistics: proceedings of the sixth vilnius conference, pp 485\u2013496","DOI":"10.1515\/9783112319321-029"},{"issue":"1","key":"2623_CR32","doi-asserted-by":"publisher","first-page":"33","DOI":"10.1016\/j.jeconom.2015.09.006","volume":"191","author":"A Golinski","year":"2016","unstructured":"Golinski A, Zaffaroni P (2016) Long memory affine term structure models. J Econom 191(1):33\u201356","journal-title":"J Econom"},{"issue":"7","key":"2623_CR33","doi-asserted-by":"publisher","first-page":"929","DOI":"10.1080\/00036840802345584","volume":"41","author":"M G\u00f3mez-Puig","year":"2009","unstructured":"G\u00f3mez-Puig M (2009) The immediate effect of monetary union on EU-15 sovereign debt yield spreads. Appl Econ 41(7):929\u2013939","journal-title":"Appl Econ"},{"issue":"5","key":"2623_CR34","doi-asserted-by":"publisher","first-page":"971","DOI":"10.1111\/j.1468-036X.2009.00495.x","volume":"15","author":"M G\u00f3mez-Puig","year":"2009","unstructured":"G\u00f3mez-Puig M (2009) Systemic and idiosyncratic risk in EU-15 sovereign yield spreads after seven years of monetary union. Eur Financ Manag 15(5):971\u20131000","journal-title":"Eur Financ Manag"},{"issue":"1","key":"2623_CR35","doi-asserted-by":"publisher","first-page":"99","DOI":"10.1016\/0304-4076(69)41685-7","volume":"70","author":"AW Gregory","year":"1996","unstructured":"Gregory AW, Hansen BE (1996) Residual-based tests for cointegration in models with regime shifts. J Econom 70(1):99\u2013126","journal-title":"J Econom"},{"issue":"1","key":"2623_CR36","doi-asserted-by":"publisher","first-page":"30","DOI":"10.1016\/j.econlet.2008.10.008","volume":"102","author":"AG Halunga","year":"2009","unstructured":"Halunga AG, Osborn DR, Sensier M (2009) Changes in the order of integration of US and UK inflation. Econ Lett 102(1):30\u201332","journal-title":"Econ Lett"},{"issue":"4","key":"2623_CR37","doi-asserted-by":"publisher","first-page":"401","DOI":"10.1080\/07474939608800364","volume":"15","author":"K Hao","year":"1996","unstructured":"Hao K (1996) Testing for structural change in cointegrated regression models: some comparisons and generalizations. Econom Rev 15(4):401\u2013429","journal-title":"Econom Rev"},{"issue":"1","key":"2623_CR38","doi-asserted-by":"publisher","first-page":"180","DOI":"10.1093\/oxrep\/19.1.180","volume":"19","author":"P Hartmann","year":"2003","unstructured":"Hartmann P, Maddaloni A, Manganelli S (2003) The euro-area financial system: structure, integration, and policy initiatives. Oxf Rev Econ Policy 19(1):180\u2013213","journal-title":"Oxf Rev Econ Policy"},{"issue":"2","key":"2623_CR39","doi-asserted-by":"publisher","first-page":"441","DOI":"10.1016\/j.jeconom.2005.07.002","volume":"134","author":"DI Harvey","year":"2006","unstructured":"Harvey DI, Leybourne SJ, Taylor AR (2006) Modified tests for a change in persistence. J Econom 134(2):441\u2013469","journal-title":"J Econom"},{"issue":"1","key":"2623_CR40","doi-asserted-by":"publisher","first-page":"47","DOI":"10.1016\/S0261-5606(98)00044-8","volume":"18","author":"C Hassapis","year":"1999","unstructured":"Hassapis C, Pittis N, Prodromidis K (1999) Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited. J Int Money Financ 18(1):47\u201373","journal-title":"J Int Money Financ"},{"issue":"6","key":"2623_CR41","doi-asserted-by":"publisher","first-page":"1091","DOI":"10.1017\/S026646660606052X","volume":"22","author":"U Hassler","year":"2006","unstructured":"Hassler U, Breitung J (2006) A residual-based LM-type test against fractional cointegration. Econom Theor 22(6):1091\u20131111","journal-title":"Econom Theor"},{"issue":"6","key":"2623_CR42","doi-asserted-by":"publisher","first-page":"1855","DOI":"10.1017\/S0266466610000216","volume":"26","author":"U Hassler","year":"2010","unstructured":"Hassler U, Kokoszka P (2010) Impulse responses of fractionally integrated processes with long memory. Econom Theor 26(6):1855\u20131861","journal-title":"Econom Theor"},{"issue":"4","key":"2623_CR43","doi-asserted-by":"publisher","first-page":"847","DOI":"10.1007\/s00362-009-0292-y","volume":"52","author":"U Hassler","year":"2011","unstructured":"Hassler U, Scheithauer J (2011) Detecting changes from short to long memory. Stat Pap 52(4):847\u2013870","journal-title":"Stat Pap"},{"issue":"2","key":"2623_CR44","doi-asserted-by":"publisher","first-page":"653","DOI":"10.1007\/s00181-013-0691-8","volume":"46","author":"U Hassler","year":"2014","unstructured":"Hassler U, Meller B (2014) Detecting multiple breaks in long memory the case of US inflation. Empir Econ 46(2):653\u2013680","journal-title":"Empir Econ"},{"issue":"6","key":"2623_CR45","doi-asserted-by":"publisher","first-page":"1793","DOI":"10.1017\/S0266466609990338","volume":"25","author":"U Hassler","year":"2009","unstructured":"Hassler U, Rodrigues PM, Rubia A (2009) Testing for general fractional integration in the time domain. Econom Theor 25(6):1793\u20131828","journal-title":"Econom Theor"},{"issue":"4","key":"2623_CR46","first-page":"693","volume":"14","author":"U Hassler","year":"2016","unstructured":"Hassler U, Rodrigues PM, Rubia A (2016) Quantile regression for long memory testing: a case of realized volatility. J Financ Econom 14(4):693\u2013724","journal-title":"J Financ Econom"},{"issue":"4","key":"2623_CR47","doi-asserted-by":"publisher","first-page":"462","DOI":"10.1198\/073500104000000596","volume":"23","author":"AM Herrera","year":"2005","unstructured":"Herrera AM, Pesavento E (2005) The decline in US output volatility: structural changes and inventory investment. J Bus Econ Stat 23(4):462\u2013472","journal-title":"J Bus Econ Stat"},{"issue":"2","key":"2623_CR48","doi-asserted-by":"publisher","first-page":"215","DOI":"10.1016\/S0304-4076(98)00042-6","volume":"90","author":"A Inoue","year":"1999","unstructured":"Inoue A (1999) Tests of cointegrating rank with a trend-break. J Econom 90(2):215\u2013237","journal-title":"J Econom"},{"issue":"2\u20133","key":"2623_CR49","doi-asserted-by":"publisher","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"S Johansen","year":"1988","unstructured":"Johansen S (1988) Statistical analysis of cointegration vectors. J Econ Dyn Control 12(2\u20133):231\u2013254","journal-title":"J Econ Dyn Control"},{"issue":"2","key":"2623_CR50","doi-asserted-by":"publisher","first-page":"216","DOI":"10.1111\/1368-423X.00047","volume":"3","author":"S Johansen","year":"2000","unstructured":"Johansen S, Mosconi R, Nielsen B (2000) Cointegration analysis in the presence of structural breaks in the deterministic trend. Econom J 3(2):216\u2013249","journal-title":"Econom J"},{"issue":"4","key":"2623_CR51","first-page":"25","volume":"13","author":"KH Kang","year":"2009","unstructured":"Kang KH, Kim C-J, Morley J (2009) Changes in US inflation persistence. Stud Nonlinear Dyn Econom 13(4):25","journal-title":"Stud Nonlinear Dyn Econom"},{"key":"2623_CR52","doi-asserted-by":"crossref","unstructured":"Karfakis CJ, Moschos DM (1990) Interest rate linkages within the european monetary system: a time series analysis. J Money Credit Banking 22(3):389\u2013394","DOI":"10.2307\/1992567"},{"key":"2623_CR53","doi-asserted-by":"crossref","unstructured":"Katsimbris GM, Miller S (1993) Interest rate linkages within the european monetary system: further analysis. J Money Credit Banking 25(4):771\u2013779","DOI":"10.2307\/2077804"},{"issue":"1","key":"2623_CR54","doi-asserted-by":"publisher","first-page":"97","DOI":"10.1016\/S0304-4076(99)00031-7","volume":"95","author":"J-Y Kim","year":"2000","unstructured":"Kim J-Y (2000) Detection of change in persistence of a linear time series. J Econom 95(1):97\u2013116","journal-title":"J Econom"},{"issue":"4","key":"2623_CR55","doi-asserted-by":"publisher","first-page":"620","DOI":"10.1017\/S0266466603194078","volume":"19","author":"J-Y Kim","year":"2003","unstructured":"Kim J-Y (2003) Inference on segmented cointegration. Econom Theor 19(4):620\u2013639","journal-title":"Econom Theor"},{"issue":"2","key":"2623_CR56","doi-asserted-by":"publisher","first-page":"389","DOI":"10.1016\/S0304-4076(02)00087-8","volume":"109","author":"J-Y Kim","year":"2002","unstructured":"Kim J-Y, Belaire-Franch J, Amador RB et al (2002) Corrigendum to \u201cdetection of change in persistence of a linear time series\u2019\u2019 [JoE 95 (2000) 97\u2013116]. J Econom 109(2):389\u2013392","journal-title":"J Econom"},{"issue":"1","key":"2623_CR57","doi-asserted-by":"publisher","first-page":"139","DOI":"10.1111\/sjpe.12179","volume":"66","author":"R Kruse","year":"2019","unstructured":"Kruse R, Wegener C (2019) Explosive behaviour and long memory with an application to European bond yield spreads. Scott J Polit Econ 66(1):139\u2013153","journal-title":"Scott J Polit Econ"},{"issue":"2","key":"2623_CR58","doi-asserted-by":"publisher","first-page":"337","DOI":"10.1016\/S0304-4076(98)00005-0","volume":"86","author":"B-S Kuo","year":"1998","unstructured":"Kuo B-S (1998) Test for partial parameter instability in regressions with I(1) processes. J Econom 86(2):337\u2013368","journal-title":"J Econom"},{"key":"2623_CR59","unstructured":"Leschinski C, Voges M, Sibbertsen P (2018) Integration and disintegration of EMU government bond markets. Technical report, Leibniz Universit\u00e4t Hannover, Wirtschaftswissenschaftliche Fakult\u00e4t"},{"issue":"2","key":"2623_CR60","doi-asserted-by":"publisher","first-page":"201","DOI":"10.1016\/S0304-4076(02)00200-2","volume":"113","author":"H L\u00fctkepohl","year":"2003","unstructured":"L\u00fctkepohl H, Saikkonen P, Trenkler C (2003) Comparison of tests for the cointegrating rank of a VAR process with a structural shift. J Econom 113(2):201\u2013229","journal-title":"J Econom"},{"key":"2623_CR61","doi-asserted-by":"publisher","first-page":"111","DOI":"10.1016\/S0378-3758(98)00245-6","volume":"80","author":"D Marinucci","year":"1999","unstructured":"Marinucci D, Robinson PM (1999) Alternative forms of fractional Brownian motion. J Stat Plan Inference 80:111\u2013122","journal-title":"J Stat Plan Inference"},{"key":"2623_CR62","doi-asserted-by":"publisher","first-page":"502","DOI":"10.1016\/j.csda.2012.07.021","volume":"76","author":"LF Martins","year":"2014","unstructured":"Martins LF, Rodrigues PM (2014) Testing for persistence change in fractionally integrated models: an application to world inflation rates. Comput Stat Data Anal 76:502\u2013522","journal-title":"Comput Stat Data Anal"},{"key":"2623_CR63","unstructured":"Martins LF, Rodrigues PM (2018) Testing for segmented cointegration. MIMEO"},{"issue":"5","key":"2623_CR64","doi-asserted-by":"publisher","first-page":"1464","DOI":"10.1257\/aer.90.5.1464","volume":"90","author":"MM McConnell","year":"2000","unstructured":"McConnell MM, Perez-Quiros G (2000) Output fluctuations in the United States: What has changed since the early 1980\u2019s? Am Econ Rev 90(5):1464\u20131476","journal-title":"Am Econ Rev"},{"issue":"2","key":"2623_CR65","doi-asserted-by":"publisher","first-page":"170","DOI":"10.1016\/j.jeconom.2009.10.002","volume":"155","author":"M\u00d8 Nielsen","year":"2010","unstructured":"Nielsen M\u00d8 (2010) Nonparametric cointegration analysis of fractional systems with unknown integration orders. J Econom 155(2):170\u2013187","journal-title":"J Econom"},{"issue":"4","key":"2623_CR66","doi-asserted-by":"publisher","first-page":"531","DOI":"10.1093\/oxrep\/grh031","volume":"20","author":"M Pagano","year":"2004","unstructured":"Pagano M, Thadden E-LV (2004) The European bond markets under emu. Oxf Rev Econ Policy 20(4):531\u2013554","journal-title":"Oxf Rev Econ Policy"},{"issue":"1","key":"2623_CR67","doi-asserted-by":"publisher","first-page":"36","DOI":"10.1016\/j.euroecorev.2011.05.006","volume":"56","author":"L Pozzi","year":"2012","unstructured":"Pozzi L, Wolswijk G (2012) The time-varying integration of euro area government bond markets. Eur Econ Rev 56(1):36\u201353","journal-title":"Eur Econ Rev"},{"issue":"4","key":"2623_CR68","doi-asserted-by":"publisher","first-page":"675","DOI":"10.1007\/BF01205416","volume":"18","author":"CE Quintos","year":"1993","unstructured":"Quintos CE, Phillips PC (1993) Parameter constancy in cointegrating regressions. Empir Econ 18(4):675\u2013706","journal-title":"Empir Econ"},{"key":"2623_CR69","doi-asserted-by":"crossref","unstructured":"Schaeffer I, Ramirez M (2017) Is there a long-term relationship among European sovereign bond yields? Working Papers 1701, Trinity College, Department of Economics","DOI":"10.5296\/ber.v7i1.10863"},{"issue":"3","key":"2623_CR70","doi-asserted-by":"publisher","first-page":"263","DOI":"10.1111\/j.1467-9892.2009.00611.x","volume":"30","author":"P Sibbertsen","year":"2009","unstructured":"Sibbertsen P, Kruse R (2009) Testing for a break in persistence under long-range dependencies. J Time Ser Anal 30(3):263\u2013285","journal-title":"J Time Ser Anal"},{"key":"2623_CR71","doi-asserted-by":"publisher","first-page":"109","DOI":"10.1016\/j.jbankfin.2014.01.003","volume":"41","author":"P Sibbertsen","year":"2014","unstructured":"Sibbertsen P, Wegener C, Basse T (2014) Testing for a break in the persistence in yield spreads of EMU government bonds. J Bank Finance 41:109\u2013118","journal-title":"J Bank Finance"},{"issue":"3","key":"2623_CR72","doi-asserted-by":"publisher","first-page":"446","DOI":"10.1016\/j.econlet.2005.10.009","volume":"90","author":"Y Sun","year":"2006","unstructured":"Sun Y (2006) Spurious regressions between stationary generalized long memory processes. Econ Lett 90(3):446\u2013454","journal-title":"Econ Lett"},{"key":"2623_CR73","first-page":"56","volume":"37","author":"ET Swanson","year":"2008","unstructured":"Swanson ET (2008) Convergence of long-term bond yields in the euro area. FRBSF Econ Lett 37:56","journal-title":"FRBSF Econ Lett"},{"issue":"2","key":"2623_CR74","doi-asserted-by":"publisher","first-page":"332","DOI":"10.2307\/1926980","volume":"71","author":"MP Taylor","year":"1989","unstructured":"Taylor MP, Tonks I (1989) The internationalisation of stock markets and the abolition of U.K. exchange control. Rev Econ Stat 71(2):332\u2013336","journal-title":"Rev Econ Stat"},{"issue":"1","key":"2623_CR75","doi-asserted-by":"publisher","first-page":"36","DOI":"10.1016\/j.ejpoleco.2010.07.002","volume":"27","author":"J von Hagen","year":"2011","unstructured":"von Hagen J, Schuknecht L, Wolswijk G (2011) Government bond risk premiums in the EU revisited: the impact of the financial crisis. Eur J Polit Econ 27(1):36\u201343","journal-title":"Eur J Polit Econ"},{"key":"2623_CR76","doi-asserted-by":"publisher","first-page":"382","DOI":"10.1016\/j.jebo.2017.10.008","volume":"157","author":"C Wegener","year":"2019","unstructured":"Wegener C, Kruse R, Basse T (2019) The walking debt crisis. J Econ Behav Organ 157:382\u2013402","journal-title":"J Econ Behav Organ"}],"container-title":["Empirical Economics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s00181-024-02623-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s00181-024-02623-x\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s00181-024-02623-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,11,11]],"date-time":"2024-11-11T17:03:17Z","timestamp":1731344597000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s00181-024-02623-x"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,6,12]]},"references-count":76,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2024,12]]}},"alternative-id":["2623"],"URL":"https:\/\/doi.org\/10.1007\/s00181-024-02623-x","relation":{},"ISSN":["0377-7332","1435-8921"],"issn-type":[{"value":"0377-7332","type":"print"},{"value":"1435-8921","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024,6,12]]},"assertion":[{"value":"29 September 2023","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"20 May 2024","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"12 June 2024","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"The authors have no conflict of interest.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}]}}