Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur

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

MoreLess

Year of publication:	1999
Authors:	Brannolte, Cord ; Hansen, Gerd ; Kim, Jeong-Ryeol
Published in:	Jahrbücher für Nationalökonomie und Statistik. - Lucius & Lucius, ISSN 2366-049X, ZDB-ID 2416178-0. - Vol. 219.1999, 3-4, p. 271-283
Publisher:	Lucius & Lucius
Subject:	Term structure \| smooth transition technique \| nonlinear error correction model \| Zinsstruktur \| Smooth Transition-Technik \| nichtlineare Fehlerkorrekturmodelle

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	German
Other identifiers:	10.1515/jbnst-1999-3-418 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014608696