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

Daiki Maki ()
Additional contact information
Daiki Maki: Graduate School of Economics, Doshisha University

Economics Bulletin, 2005, vol. 3, issue 6, 1-7

Abstract: 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.

JEL-codes: C2 E4 (search for similar items in EconPapers)
Date: 2005-02-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2005/Volume3/EB-05C20005A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-05c20005

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().