Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur

Brannolte Cord, Kim Jeong-Ryeol and Hansen Gerd
Additional contact information
Kim Jeong-Ryeol: Kiel
Hansen Gerd: Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel, Olshausenstr. 40, D-24098 Kiel

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, vol. 219, issue 3-4, 271-283

Abstract: Nonlinear dynamics in the term structure of German interest rates resulting from heterogenous transaction costs in the money market are analysed by means of the smooth transition technique introduced by Granger and Teräsvirta (1993). Tests for linearity, specific functional forms and outliers are performed. Evidence is found indicating that the term structure is somewhat better described as a nonlinear cointegrated model instead of a linear one.

Keywords: Term structure; smooth transition technique; nonlinear error correction model; Zinsstruktur; Smooth Transition-Technik; nichtlineare Fehlerkorrekturmodelle (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:271-283

DOI: 10.1515/jbnst-1999-3-418

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