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Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur

Author

Listed:
  • Brannolte Cord
  • Kim Jeong-Ryeol

    (Kiel)

  • Hansen Gerd

    (Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel, Olshausenstr. 40, D-24098 Kiel)

Abstract

Nonlinear dynamics in the term structure of German interest rates resulting from heterogenous transaction costs in the money market are analysed by means of the smooth transition technique introduced by Granger and Teräsvirta (1993). Tests for linearity, specific functional forms and outliers are performed. Evidence is found indicating that the term structure is somewhat better described as a nonlinear cointegrated model instead of a linear one.

Suggested Citation

  • Brannolte Cord & Kim Jeong-Ryeol & Hansen Gerd, 1999. "Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 271-283, June.
    • Handle: RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:271-283
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    References listed on IDEAS

    as
    1. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
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