scholarly journals Nonlinear Dynamics in Term Structure of Interest Rates: Evidence from the Euro Area

Sosyoekonomi ◽  
2015 ◽  
Vol 23 (26) ◽  
Author(s):  
Ayşen ARAÇ
Keyword(s):  
Nonlinear Dynamics ◽  
Interest Rates ◽  
Term Structure ◽  
Euro Area

International term structure of interest rates in the Euro area

2009 ◽  
Vol 16 (11) ◽  
pp. 1113-1116
Author(s):  
Shigeyuki Hamori ◽  
Naoko Hamori
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Euro Area

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

1999 ◽  
Vol 219 (3-4) ◽  
Author(s):  
Cord Brannolte ◽  
Gerd Hansen ◽  
Jeong-Ryeol Kim
Keyword(s):  
Nonlinear Dynamics ◽  
Interest Rates ◽  
Transaction Costs ◽  
Error Correction ◽  
Term Structure ◽  
Money Market ◽  
Smooth Transition ◽  
Nonlinear Error ◽  
Functional Forms ◽  
Error Correction Modeling

SummaryNonlinear 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.

scholarly journals The Term Structure of Interest Rates in the Euro Area

2003 ◽  
Vol 2003 (23) ◽  
pp. 162-184,303
Author(s):  
Yuuji KAWANO
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Euro Area
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