Examination of the Term Structure of Interest Rates in Poland – Linear and Non-Linear Cointegration Analysis

Joanna Bruzda, Dorota Górecka () and Tomasz Koźliński ()
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Dorota Górecka: Nicolaus Copernicus University, Toruń, Poland
Tomasz Koźliński: Nicolaus Copernicus University, Toruń, Poland

Chapter 4 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 59-78 from University of Lodz

Abstract: In Chapter 4 Bruzda, Górecka and Koźliński examine the term structure of Polish interest rate in the cointegration framework. Some evidence of a three-regime self-exciting threshold autoregressive process with unit root in the middle regime and mean-reverting mechanism, when the absolute value of spread is big enough, is based on the original test proposed by the authors.

Keywords: Term structure of interest rates; Linear and non-linear cointegration analysis (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2007:n:05:ch:04:mon

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