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Nonlinear Error Correction Modeling in German Interest Rates

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Author Info

  • Cord Brannolte

    (Uni Kiel)

  • Gerd Hansen

    (Uni Kiel)

  • Jeong-Ryeol Kim

    (Uni Kiel)

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    Abstract

    Nonlinear dynamics in the term structure of German interest rates resulting from heterogenous transaction costs in the money market are analyzed by means of the smooth transition technique introduced by Granger and Terasvirta (1993). Tests for linearity, specific functional forms and outliers are performed. Evidence is found indicating that the term structure is somewhat better described as a nonlinear cointegrated model instead of a linear one.

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    Bibliographic Info

    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 219 (1999)
    Issue (Month): 3+4 (September)
    Pages: 271-283

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    Handle: RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:271-283

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    Related research

    Keywords: term structure; smooth transition technique; nonlinear error correction model;

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