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Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework


  • Daiki Maki


The term structure of interest rates in Japan is analysed by means of a cointegration test in a non-linear smooth transition autoregression (STAR) framework. The STAR approach tests for the null hypothesis with no cointegration against cointegration including a globally stationary process. The results of the STAR cointegration test, differing from the results of cointegration tests assuming linear adjustment, show that the long-run equilibrium relationship between long-term and short-term interest rates is stable with non-linear adjustment. The results indicate non-linear adjustment in the term structure of Japanese interest rates.

Suggested Citation

  • Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1301-1307.
  • Handle: RePEc:taf:apfiec:v:16:y:2006:i:17:p:1301-1307 DOI: 10.1080/09603100500426572

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    References listed on IDEAS

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    Cited by:

    1. Maki, Daiki, 2010. "An alternative procedure to test for cointegration in STAR models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 999-1006.
    2. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
    3. Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).
    4. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    5. Ayşen ARAÇ, 2015. "Nonlinear Dynamics in Term Structure of Interest Rates: Evidence from the Euro Area," Sosyoekonomi Journal, Sosyoekonomi Society, issue 23(26).

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