Interest rate pass-through: a nonlinear vector error-correction approach

DOI10.1515/snde-2016-0063OpenAlexW2265736684MaRDI QIDQ2691725

Michał Ksawery Popiel

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0063

zbMATH Keywords

cointegrationasymmetric adjustmentinterest rate pass-throughnonlinear vector error-correction model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• Matlab

Cites Work

• Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Some tests for parameter constancy in cointegrated VAR‐models
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

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