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Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models

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  • CLEMENTS, MICHAEL P.
  • GALV O, ANA BEATRIZ C.

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  • Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
  • Handle: RePEc:cup:macdyn:v:7:y:2003:i:04:p:567-585_02
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    1. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    2. 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.
    3. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
    4. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    5. Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
    6. N. Gregory Mankiw & Jeffrey A. Miron, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 101(2), pages 211-228.
    7. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, pages 202-217.
    8. Roberds, William & Runkle, David & Whiteman, Charles H, 1996. "A Daily View of Yield Spreads and Short-Term Interest Rate Movements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 34-53, February.
    9. Sola, Martin & Driffill, John, 1994. "Testing the term structure of interest rates using a stationary vector autoregression with regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 601-628.
    10. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
    11. Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
    12. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, pages 149-176.
    13. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
    14. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-239, July.
    15. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
    16. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
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    Cited by:

    1. Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
    2. Araç, Ayşen & Yalta, A. Yasemin, 2015. "Testing the expectations hypothesis for the Eurozone: A nonlinear cointegration analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 41-48.
    3. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
    4. Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Society, pages 54-77.
    5. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, pages 193-224.
    6. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, pages 605-625.
    7. Ayşen ARAÇ, 2015. "Nonlinear Dynamics in Term Structure of Interest Rates: Evidence from the Euro Area," Sosyoekonomi Journal, Sosyoekonomi Society, issue 23(26).
    8. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
    9. repec:sbe:breart:v:23:y:2003:i:1:a:2734 is not listed on IDEAS
    10. Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, pages 1013-1054.
    11. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 77-94, February.
    12. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.

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