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Nonlinear mean reversion in the term structure of interest rates

Citations

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Cited by:

  1. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
  2. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
  3. K. Balcombe, 2006. "Bayesian estimation of cointegrating thresholds in the term structure of interest rates," Empirical Economics, Springer, vol. 31(2), pages 277-289, June.
  4. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
  5. Menkhoff, Lukas & Rebitzky, Rafael R., 2008. "Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 455-467, June.
  6. Wu, Jyh-Lin & Chen, Pei-Fen, 2008. "A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach," Economic Modelling, Elsevier, vol. 25(4), pages 684-695, July.
  7. Eleni Zafeiriou & Constantinos Katrakilidis & Chrysanthi Pegiou, 2019. "Consumer Confidence on Heating Oil Prices: An Empirical Study of their Relationship for European Union in a Nonlinear Framework," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-90.
  8. Wolff, Christian & van Tol, Michel R, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers.
  9. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  10. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
  11. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  12. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  13. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  14. Jyh‐Lin Wu & Pei‐Fen Chen, 2006. "Price Indices and Nonlinear Mean‐Reversion of Real Exchange Rates," Southern Economic Journal, John Wiley & Sons, vol. 73(2), pages 461-471, October.
  15. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
  16. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
  17. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 316-323.
  18. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2015. "The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 301-313.
  19. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
  20. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  21. Fabio Gaetano Santeramo, 2015. "Price Transmission in the European Tomatoes and Cauliflowers Sectors," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 399-413, June.
  22. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
  23. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
  24. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1137-1149.
  25. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  26. Jan Willem van den End, 2011. "Statistical evidence on the mean reversion of interest rates," DNB Working Papers 284, Netherlands Central Bank, Research Department.
  27. Huimin Chung & Tsung-Wu Ho & Ling-Ju Wei, 2005. "The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2387-2394.
  28. Abbott, Philip & Wu, Ce & Tarp, Finn, 2011. "Transmission of World Prices to the Domestic Market in Vietnam," MPRA Paper 84611, University Library of Munich, Germany.
  29. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
  30. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
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