Nonlinear Error Correction Modeling in German Interest Rates
AbstractNonlinear 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 InfoArticle 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)
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term structure; smooth transition technique; nonlinear error correction model;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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