Chang, Hsu-Ling; Su, Chi-Wei - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 6, pp. 534-544
This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the non-parametric rank tests proposed by Breitung (2001). Based upon our adoption in this study of the threshold error-correction model...