. With the theoretical setup of the model and using empirical tools, such as cointegration, error correction and causality in …

cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit Facility Rate …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating …

a cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

asset classes. The results reveal that a long-term equilibrium exists among the variables, with significant cointegration …