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

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

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; Term structure; smooth transition technique; nonlinear error correction model (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jbnst-1999-3-418 (text/html)

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:jns:jbstat:v:219:y:1999:i:3-4:p:271-283:n:1003

DOI: 10.1515/jbnst-1999-3-418

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().