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Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates

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  • David McMillan

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    File URL: http://hdl.handle.net/10.1007/s00181-007-0180-z
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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 35 (2008)
    Issue (Month): 3 (November)
    Pages: 591-606

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    Handle: RePEc:spr:empeco:v:35:y:2008:i:3:p:591-606

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    Related research

    Keywords: Asymmetric adjustment; Cointegration; Interest rates; C22; G12;

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    1. Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
    2. Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
    3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    4. Chris Brooks & Ian Garrett, 2002. "Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 25-31.
    5. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
    6. Brown, Bryan W & Mariano, Roberto S, 1989. "Measures of Deterministic Prediction Bias in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 667-84, August.
    7. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    8. Sollis, Robert & Leybourne, Stephen & Newbold, Paul, 2002. "Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 686-700, August.
    9. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-76, April.
    10. Martin, Christopher & Costas Milas, 2002. "Modelling Monetary Policy: Inflation Targeting in Practice," Royal Economic Society Annual Conference 2002 137, Royal Economic Society.
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