Threshold nonlinear interest rates

DOI10.1016/J.ECONLET.2004.12.032MaRDI QIDQ1927902zbMATH OpenOpenAlexFDO

Authors Philip A. Shively

Publication date 2 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2004.12.032

zbMATH Keywords

federal fundspermanent decompositionstructural bivariate threshold modeltemporarythreshold nonlinearity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Nonlinear interest rate dynamics and implications for the terms structure
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Testing and Modeling Multivariate Threshold Models

Cited in

(7)

• Modelling federal reserve discount policy
• Nonlinearities, smoothing and countercyclical monetary policy
• A model of the federal funds market
• Introduction to m-m processes
• Flexible Threshold Models for Modelling Interest Rate Volatility
• Endogenous thresholds and tests for asymmetry in US prime rate movements
• Nonlinear mean reversion in the term structure of interest rates

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