An alternative approach to the modelling of interest rate pass through and asymmetric adjustment

We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.

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Year of publication:	2013
Authors:	Valadkhani, Abbas ; Bollen, Bernard
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 3, p. 491-494
Publisher:	Elsevier
Subject:	Interest rate \| Error correction \| Rockets and feathers \| Asymmetric behaviour \| Australia

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Type of publication:	Article
Classification:	C52 - Model Evaluation and Testing ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E58 - Central Banks and Their Policies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010681753