The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework
This paper investigates the term structure of interest rates in Japan using the unit root test in a nonlinear STAR framework. The results provide strong evidence against the unit root of the yield spread between long-term and short-term interest rates, compared with standard unit root tests assuming only linear adjustment. This finding shows that the term structure of interest rates is stable with nonlinear adjustment.
Volume (Year): 3 (2005)
Issue (Month): 6 ()
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