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| Author: | Pfann, G. Schotman, P. Tschernig, R. |
| Title: | Nonlinear interest rate dynamics and implications for the term structure |
| Journal: | Journal of Econometrics
1996 : SEP, VOL. 74:1, p. 149-176 |
| Index terms: | ECONOMETRICS ECONOMICS INTEREST RATES |
| Language: | eng |
| Abstract: | This paper explores nonlinear dynamics in the time series of the short-term interest rate in the United States. The proposed model is an autoregressive threshold model augmented by conditional heteroskedasticity. The performance of the model is evaluated by considering its implications for the term structure of interest rates. The nonlinear dynamics imply a form of nonlinearity in the levels relation between the long and the short rate. SETAR models are discussed by the authors, as well as nonlinear dynamics. |
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