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Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework

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  • Daiki Maki
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    Abstract

    The term structure of interest rates in Japan is analysed by means of a cointegration test in a non-linear smooth transition autoregression (STAR) framework. The STAR approach tests for the null hypothesis with no cointegration against cointegration including a globally stationary process. The results of the STAR cointegration test, differing from the results of cointegration tests assuming linear adjustment, show that the long-run equilibrium relationship between long-term and short-term interest rates is stable with non-linear adjustment. The results indicate non-linear adjustment in the term structure of Japanese interest rates.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426572
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 16 (2006)
    Issue (Month): 17 ()
    Pages: 1301-1307

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    Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1301-1307

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    Cited by:
    1. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    2. Maki, Daiki, 2010. "An alternative procedure to test for cointegration in STAR models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 999-1006.
    3. Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).

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