DMCA
Nonlinear Interest Rate Dynamics and Implications for the Term Structure (1994)
| Venue: | Journal of Econometrics |
| Citations: | 38 - 2 self |
BibTeX
@ARTICLE{Pfann94nonlinearinterest,
author = {Gerard A. Pfann and Peter C. Schotman and Rolf Tschernig},
title = {Nonlinear Interest Rate Dynamics and Implications for the Term Structure},
journal = {Journal of Econometrics},
year = {1994},
volume = {74},
pages = {149--176}
}
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Abstract
: This paper explores nonlinear dynamics for the time series of the short term interest rate in the United States. The proposed model is an autoregressive threshold model augmented by conditional heteroskedasticity. The performance of the model is evaluated by considering its implications for the term structure of interest rates. The nonlinear dynamics imply a form of nonlinearity in the levels relation between the long and the short rate. Empirical results indicate that the implied nonlinearity is present in the data. Keywords: Nonlinear Dynamics, Term Structure of Interest Rates, SETAR Models. ? Gerard Pfann gratefully acknowledges the hospitality of the Graduate School of Business of the University of Chicago, where part of this research was done, and the financial support of the William J. Fulbright Commission and of the Royal Netherlands Academy of Arts and Sciences. Rolf Tschernig gratefully acknowledges the hospitality and support of the University of Limburg. Part of his rese...
Keyphrases
term structure nonlinear dynamic nonlinear interest rate dynamic interest rate united state royal netherlands academy short rate gerard pfann autoregressive threshold model fulbright commission time series empirical result short term interest rate setar model rolf tschernig graduate school financial support level relation conditional heteroskedasticity implied nonlinearity
