Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework

• Autores: Daiki Maki
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 17, 2006, págs. 1301-1307
• Idioma: inglés
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• Resumen

  • The term structure of interest rates in Japan is analysed by means of a cointegration test in a non-linear smooth transition autoregression (STAR) framework. The STAR approach tests for the null hypothesis with no cointegration against cointegration including a globally stationary process. The results of the STAR cointegration test, differing from the results of cointegration tests assuming linear adjustment, show that the long-run equilibrium relationship between long-term and short-term interest rates is stable with non-linear adjustment. The results indicate non-linear adjustment in the term structure of Japanese interest rates.