Nonlinear mean reversion in the term structure of interest rates

Journal of Economic Dynamics and Control

Volumn 27, Issue 11-12, 2003, Pages 2243-2265

  Seo, Byeongseon ^a  

^a Soongsil University   (South Korea)

Author keywords

Expectations hypothesis; Threshold cointegration; Transaction costs

Indexed keywords

EID: 0038330312     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00124-0     Document Type: Article

References (38)

1. Andrews D. Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative Econometrica 62 1994 1383-1414
2. Backus D. Gregory A. Zin S. Risk premiums in the term structure: evidence from artificial economies Journal of Monetary Economics 24 1989 371-399
3. Balduzzi P. Bertola G. Foresi S. A Model of target changes and the term structure of interest rates Journal of Monetary Economics 39 1997 223-249
4. Balke N. Fomby T. Threshold cointegration International Economic Review 38 1997 627-645
5. Campbell J. Some lessons from the yield curve Journal of Economic Perspectives 9 1995 129-152
6. Campbell J. Cochrane J. By force of habit: a consumption-based explanation of aggregate stock market behavior Journal of Political Economy 107 1999 205-251
7. Campbell J. Shiller R. Cointegration and tests of present value models Journal of Political Economy 95 1987 1062-1088
8. Campbell J. Shiller R. Yield spreads and interest rate movements: a bird's eye view Review of Economic Studies 58 1991 495-514
9. Constantinides G. Capital market equilibrium with transaction costs Journal of Political Economy 94 1986 842-862
10. Cox J. Ingersoll J. Ross S. A re-examination of traditional hypotheses about the term structure of interest rates Journal of Finance 36 1981 769-799
11. Cox J. Ingersoll J. Ross S. A theory of the term structure of interest rates Econometrica 53 1985 385-407
12. Culbertson J.M. The term-structure of interest rates Quarterly Journal of Economics 71 1957 485-517
13. Engle R. Granger C. Co-integration and error correction: representation, estimation, and testing Econometrica 55 1987 251-276
14. Fama E. The information in the term structure Journal of Financial Economics 13 1984 509-528
15. Fama E. Term premiums in bond returns Journal of Financial Economics 13 1984 529-546
16. Friedman B. Financial flow variables and the short-run determination of long-term interest rates Journal of Political Economy 85 1977 661-689
17. Friedman B. Substitution and expectation effects on long-term borrowing behavior and long-term interest rates Journal of Money, Credit, and Banking 11 1979 131-150
18. Hansen B. Inference when a nuisance parameter is not identified under the null hypothesis Econometrica 64 1996 413-430
19. Hansen, B., Seo, B., 2002. Testing for two-regime threshold cointegration in vector error correction models. Journal of Econometrics 110, 293-318.
20. Jegadeesh N. Pennacchi G. The behavior of interest rates implied by the term structure of Eurodollar futures Journal of Money, Credit, and Banking 28 1996 426-446
21. Johansen S. Statistical analysis of cointegration vectors Journal of Economic Dynamics and Control 12 1988 231-254
22. Lewis K. Was there a 'Peso Problem' in the U.S. term structure of interest rates: 1979-1982? International Economic Review 32 1991 159-173
23. Lo, M., Zivot, E., 2001. Threshold cointegration and nonlinear adjustment to the law of one price. Macroeconomic Dynamics 5, 533-576.
24. Magill M. Constantinides G. Portfolio selection with transaction costs Journal of Economic Theory 13 1976 245-263
25. Mankiw G. Miron J. The changing behavior of the term structure of interest rates Quarterly Journal of Economics 101 1986 211-228
26. Mankiw, G., Summers, L., 1984. Do long-term interest rates overreact to short-term interest rates? Brookings Papers on Economic Activity, pp. 223-242.
27. Modigliani F. Shiller R. Inflation, rational expectation and the term structure of interest rates Economica 40 1973 12-43
28. Modigliani F. Sutch R. Innovations in interest rate policy American Economic Review 56 1966 178-197
29. Modigliani F. Sutch R. Debt management and the term structure of interest rates: an empirical analysis of recent experience Journal of Political Economy 75 1967 569-589
30. Rudebusch G. Federal Reserve interest rate targeting, rational expectations, and the term structure Journal of Monetary Economics 35 1995 245-274
31. Saikkonen P. Estimation and testing of cointegrated systems by an autoregressive approximation Econometric Theory 8 1992 1-27
32. Sargent T. A note on maximum likelihood estimation of the rational expectations model of the term structure Journal of Monetary Economics 5 1979 133-143
33. Seo B. Tests for structural change in cointegrated systems Econometric Theory 14 1998 222-259
34. Shiller R. The volatility of long-term interest rates and expectations models of the term structure Journal of Political Economy 87 1979 1120-1219
35. Shiller, R., Campbell, J., Schoenholtz, K., 1983. Forward rates and future policy: interpreting the Term structure of interest rates. Brookings Papers on Economic Activity, pp. 173-217.
36. Simon D. Expectations and the treasury bill-Fed funds rate spread over recent monetary policy regimes Journal of Finance 65 1990 567-577
37. Tong H. In: Chen C.H. (Ed.), On a Threshold Model, Pattern Recognition and Signal Processing 1978 Sijhoff & Noordhoff Amsterdam
38. Woodford, M., 1999. Optimal monetary policy inertia. NBER Working Paper No. 7261.