South Africa¡¯s Short and Long Term Interest Rates: A Threshold Cointegration Analysis
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"On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment,"
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- Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
- Njindan Iyke, Bernard, 2017. "Asymmetries in Yield Curves: Some Empirical Evidence from Ghana," MPRA Paper 79155, University Library of Munich, Germany.
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"Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach,"
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More about this item
KeywordsMarket interest rates; Threshold cointegration; SARB; Repo (repurchase rate);
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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