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Nonlinear mean reversion in the term structure of interest rates

Citations

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Cited by:

  1. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
  2. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
  3. K. Balcombe, 2006. "Bayesian estimation of cointegrating thresholds in the term structure of interest rates," Empirical Economics, Springer, vol. 31(2), pages 277-289, June.
  4. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
  5. Menkhoff, Lukas & Rebitzky, Rafael R., 2008. "Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 455-467, June.
  6. Wu, Jyh-Lin & Chen, Pei-Fen, 2008. "A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach," Economic Modelling, Elsevier, vol. 25(4), pages 684-695, July.
  7. Eleni Zafeiriou & Constantinos Katrakilidis & Chrysanthi Pegiou, 2019. "Consumer Confidence on Heating Oil Prices: An Empirical Study of their Relationship for European Union in a Nonlinear Framework," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-90.
  8. Wolff, Christian & van Tol, Michel R, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers.
  9. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  10. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  11. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
  12. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  13. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  14. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  15. Jyh‐Lin Wu & Pei‐Fen Chen, 2006. "Price Indices and Nonlinear Mean‐Reversion of Real Exchange Rates," Southern Economic Journal, John Wiley & Sons, vol. 73(2), pages 461-471, October.
  16. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
  17. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
  18. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 316-323.
  19. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  20. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2015. "The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 301-313.
  21. Marçal, Emerson F. & Valls Pereira, Pedro L. & Abbara, Omar, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper 15624, University Library of Munich, Germany.
  22. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
  23. Fabio Gaetano Santeramo, 2015. "Price Transmission in the European Tomatoes and Cauliflowers Sectors," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 399-413, June.
  24. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
  25. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
  26. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1137-1149.
  27. Jan Willem van den End, 2011. "Statistical evidence on the mean reversion of interest rates," DNB Working Papers 284, Netherlands Central Bank, Research Department.
  28. Huimin Chung & Tsung-Wu Ho & Ling-Ju Wei, 2005. "The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2387-2394.
  29. Abbott, Philip & Wu, Ce & Tarp, Finn, 2011. "Transmission of World Prices to the Domestic Market in Vietnam," MPRA Paper 84611, University Library of Munich, Germany.
  30. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
  31. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
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