University of Hertfordshire

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Structural Breaks and Convergence in the European Retail Banking Sector. / Rughoo, Aarti; Sarantis, Nicholas.

2011. (Centre for EMEA Banking, Finance and Economics Working Paper Series).

Research output: Working paper

Harvard

Rughoo, A & Sarantis, N 2011 'Structural Breaks and Convergence in the European Retail Banking Sector' Centre for EMEA Banking, Finance and Economics Working Paper Series.

APA

Rughoo, A., & Sarantis, N. (2011). Structural Breaks and Convergence in the European Retail Banking Sector. (Centre for EMEA Banking, Finance and Economics Working Paper Series).

Vancouver

Rughoo A, Sarantis N. Structural Breaks and Convergence in the European Retail Banking Sector. 2011. (Centre for EMEA Banking, Finance and Economics Working Paper Series).

Author

Rughoo, Aarti ; Sarantis, Nicholas. / Structural Breaks and Convergence in the European Retail Banking Sector. 2011. (Centre for EMEA Banking, Finance and Economics Working Paper Series).

Bibtex

@techreport{f647255c2b7448128f078264bb14c7b1,
title = "Structural Breaks and Convergence in the European Retail Banking Sector",
abstract = "The 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. ",
author = "Aarti Rughoo and Nicholas Sarantis",
year = "2011",
language = "English",
series = "Centre for EMEA Banking, Finance and Economics Working Paper Series",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Structural Breaks and Convergence in the European Retail Banking Sector

AU - Rughoo, Aarti

AU - Sarantis, Nicholas

PY - 2011

Y1 - 2011

N2 - The 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.

AB - The 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.

M3 - Working paper

T3 - Centre for EMEA Banking, Finance and Economics Working Paper Series

BT - Structural Breaks and Convergence in the European Retail Banking Sector

ER -