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On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment

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  • Bernard N. Iyke

Abstract

This paper explores the correlations of the short- and long-term interest rate series through time in South Africa. Two time series techniques are utilized: the Kapetanios et al. (2003) nonlinear STAR unit root test and the asymmetric cointegration with threshold adjustment test of Enders and Siklos (2001). We find the interest rate series (i.e. the […]

Suggested Citation

  • Bernard N. Iyke, 2015. "On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," Working Papers 557, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:557
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    More about this item

    Keywords

    Banking Regulation; fiscal policy; Other Macroeconomic Variables; South Africa; Time Series Analysis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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