A bivariate threshold time series model for analyzing Australian interest rates

W.S. Chan and S.H. Cheung

Mathematics and Computers in Simulation (MATCOM), 2005, vol. 68, issue 5, 429-437

Abstract: In recent years, research in nonlinear time series analysis has grown rapidly. Substantial empirical evidence of nonlinearities in economic time series fluctuations has been reported in the literature. Nonlinear time series models have the advantage of being able to capture asymmetries, jumps, and time irreversibility which are characteristics of many observed financial and economic time series. As compared to the linear models, the nonlinear time series models provide a much wider spectrum of possible dynamics for the economic time series data. In this paper, we explore the use of nonlinear time series models to analyze Australian interest rates. In particular, we concentrate on the class of bivariate threshold autoregressive (BTAR) models. Monthly Australian interest rates from 1957.1 to 2002.8 are considered. The series under study are 2- and 15-year government bonds, representing short- and long-term series in the term structure of interest rates. A BTAR model is fitted to the observed vector series and the results show that the dynamic structure of the two interest rate series depends heavily on the status (expansion versus contraction) of the economy.

Keywords: Arranged autoregression; Bivariate time series; Model change; Nonlinearity test (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475405000339
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:matcom:v:68:y:2005:i:5:p:429-437

DOI: 10.1016/j.matcom.2005.02.003

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().