The purpose of this study is to identify sources of regime switching in short-term interest rates for Canada. The choice of information variables is based on three well-known hypotheses about interest rates: the expectations hypothesis, the Fisher relationship, and the condition for uncovered...

This study employs the asymmetric threshold cointegration test suggested by Enders and Siklos (2001) and creates asymmetric EC-EGARCH(1, 1)- M model to investigate the pass-through of money-market rate to banking retail rates in Taiwan and Hong Kong. It further explores the impact of interest...