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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Brannolte Cord & Hansen Gerd & Kim Jeong-Ryeol, 1999. "Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 271-283.
    • Handle: RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:271-283:n:1003
    DOI: 10.1515/jbnst-1999-3-418
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