Cassola, Nuno; Morana, Claudio - 2008
-term behaviour of interest rates with one-week maturity is investigated by testing for co-breaking and for homogeneity of spreads …-term interest rates is inconsistent with the existence of more than one common trend driving the one-week interest rates and/or with … nonstationarity of the spreads among interest rates of the same maturity (or measured against the MBR). Secondly, the impact of …