Is the term structure nonlinear? A semiparametric investigation

Lance Bachmeier

Applied Economics Letters, 2002, vol. 9, issue 3, 151-153

Abstract: A semiparametric error correction model (ECM) is estimated using US term structure data. We use 5 and 10 year interest rates to predict short-term (1 month to 12 month) interest rates. It is found that the semiparametric ECM model predicts better than the popular linear ECM. These results provide further evidence of nonlinearity in the term structure.

Date: 2002
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DOI: 10.1080/13504850110053275

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