A number of recent studies have found evidence of a nonlinear term structure relationship in the U.S. This paper extends earlier work and develops tests of the null hypothesis of no cointegration that allow for linear or asymmetric (or symmetric) threshold cointegration under the alternative...

We investigate the order of integration of aggregate wage, price and productivity measures for the USA. Our investigation differs from previous studies as we employ recently developed tests that allow, under the alternative hypothesis, for structural change between periods in which the data are...

This paper investigates the existence of threshold cointegration between real exchange rates and real interest rate differentials. Unlike previous work, which generally fails to find evidence of a long-run relationship employing linear models, we employ tests of the null hypothesis of no...