Threshold nonlinear interest rates

DOI10.1016/J.ECONLET.2004.12.032zbMath1254.91737OpenAlexW2067295417MaRDI QIDQ1927902

Philip A. Shively

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.12.032

zbMATH Keywords

threshold nonlinearityfederal fundspermanent decompositionstructural bivariate threshold modeltemporary

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Nonlinear interest rate dynamics and implications for the terms structure
• Testing and Modeling Multivariate Threshold Models

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