A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure
UNSPECIFIED. (2004) A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure. INTERNATIONAL JOURNAL OF FORECASTING, 20 (2). pp. 219-236. ISSN 0169-2070Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.ijforecast.2003.09.001
We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread. (C) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Journal or Publication Title:||INTERNATIONAL JOURNAL OF FORECASTING|
|Publisher:||ELSEVIER SCIENCE BV|
|Number of Pages:||18|
|Page Range:||pp. 219-236|
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