The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework

This paper investigates the term structure of interest rates in Japan using the unit root test in a nonlinear STAR framework. The results provide strong evidence against the unit root of the yield spread between long-term and short-term interest rates, compared with standard unit root tests assuming only linear adjustment. This finding shows that the term structure of interest rates is stable with nonlinear adjustment.

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Year of publication:	2005
Authors:	Maki, Daiki
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 6, p. 1-7
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094913