Nonlinear Error Correction Modeling in German Interest Rates.

Nonlinear dynamics in the term structure of German interest rates resulting from heterogenous transaction costs in the money market are analyzed by means of the smooth transition technique introduced by Granger and Terasvirta (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.

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Year of publication:	1999
Authors:	Brannolte, Cord ; Hansen, Gerd ; Kim, Jeong-Ryeol
Published in:	Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). - Fachbereich Wirtschaftswissenschaften, ISSN 0021-4027. - Vol. 219.1999, 3+4, p. 271-283
Publisher:	Fachbereich Wirtschaftswissenschaften
Subject:	term structure \| smooth transition technique \| nonlinear error correction model

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008596483