Threshold nonlinear interest rates

被引：2
|
作者：
Shively, PA [1 ]
机构：
[1] Federal Deposit Insurance Corp, Div Insurance & Res, Washington, DC 20429 USA
来源：
ECONOMICS LETTERS | 2005年 / 88卷 / 03期
关键词：
threshold nonlinearity; structural bivariate threshold model; temporary-permanent decomposition; federal funds;
D O I：
10.1016/j.econlet.2004.12.032
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This note shows that the Federal funds rate is consistent with a nonlinear, three-regime threshold process in which temporary (permanent) innovations dominate in the two outer (middle) regimes. This nonlinear process is consistent with a stabilizing force for interest rates. Published by Elsevier B.V.
引用
收藏
页码：313 / 317
页数：5
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