The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

DOI10.2202/1558-3708.1276MaRDI QIDQ5452761zbMATH OpenOpenAlexFDO

Authors Alfred A. Haug, Pierre L. Siklos

Publication date 4 April 2008

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

Full work available at URL https://doi.org/10.2202/1558-3708.1276

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Credit risk (91G40)

Recommendations

• Chapter 11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany
• Short rate nonlinearities and regime switches.
• Nonlinear interest rate dynamics and implications for the terms structure
• TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
• Nonlinear mean reversion in the term structure of interest rates

Cites work

• Are apparent findings of nonlinearity due to structural instability in economic time series?
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Comparisons of tests for multivariate cointegration
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for a unit root in the nonlinear STAR framework
• Testing the adequacy of smooth transition autoregressive models
• Testing the constancy of regression parameters against continuous structural change
• The term structure of interest rates and regime shifts

Cited in

(5)

• Short rate nonlinearities and regime switches.
• An alternative approach to the modelling of interest rate pass through and asymmetric adjustment
• Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations
• Chapter 11 Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany
• Nonlinear mean reversion in the term structure of interest rates

This page was built for publication: The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5452761)