Bayesian estimation of co-integrating thresholds in the term structure of interest rates.Balcombe, K. (2006) Bayesian estimation of co-integrating thresholds in the term structure of interest rates. Empirical Economics, 31 (2). pp. 277-289. ISSN 0377-7332 Full text not archived in this repository. It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1007/s00181-005-0011-z Abstract/SummaryThreshold Error Correction Models are used to analyse the term structure of interest Rates. The paper develops and uses a generalisation of existing models that encompasses both the Band and Equilibrium threshold models of [Balke and Fomby ((1997) Threshold cointegration. Int Econ Rev 38(3):627–645)] and estimates this model using a Bayesian approach. Evidence is found for threshold effects in pairs of longer rates but not in pairs of short rates. The Band threshold model is supported in preference to the Equilibrium model.
Altmetric Deposit Details University Staff: Request a correction | Centaur Editors: Update this record |
Lists
Lists
