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Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …

Persistent link: https://www.econbiz.de/10009578570

The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany

Nautz, Dieter; Wolters, Jürgen - 1998

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …

Persistent link: https://www.econbiz.de/10009578577

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

Persistent link: https://www.econbiz.de/10009612047