An alternative approach to the modelling of interest rate pass through and asymmetric adjustment

Abbas Valadkhani and Bernard Bollen

Economics Letters, 2013, vol. 120, issue 3, 491-494

Abstract: We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.

Keywords: Interest rate; Error correction; Rockets and feathers; Asymmetric behaviour; Australia (search for similar items in EconPapers)
JEL-codes: C52 E43 E58 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513002887
Full text for ScienceDirect subscribers only

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:eee:ecolet:v:120:y:2013:i:3:p:491-494

DOI: 10.1016/j.econlet.2013.06.006

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().