Empirical Tests for Term Structure of Interest Rates Based on Nonlinear Adjustment
The traditional method of unit root test has been discussed and the method of unit root test under non-linear adjustment, exponential smooth transition autoregressive, has been introduced. Based on Chinese interbank repo rates, empirical tests are made: Nonlinearities of interest rates and their spreads have been tested, and unit root tests are paid to the level, the first difference and the spread of interest rates based on the traditional method and the exponential smooth transition autoregressive method respectively. The results show: There are remarkable non-linear adjustment characteristics in the Chinese interbank repo rates spread. After considering non-linear adjustment, daily rates and monthly rates are cointegrated with the vector (-1,1),and the long-run equilibrium relationship between them is stable. The results provide strong evidence against the unit root of the yield spread between daily interest rates and monthly interest rates. The findings show that the term structure of interest rates is stable with nonlinear adjustment.
cointegration exponential smooth transition autoregressive (ESTAR) interest rates unit root
HE Qi-zhi
School of Statistics Anhui University of Finance and Economics Bengbu 233030, P.R.china
国际会议
上海
英文
2007-09-21（万方平台首次上网日期，不代表论文的发表时间）