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| Daiki Maki |
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| ''The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework'' |
| ( 2005, Vol. 3 No.6 ) |
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| This paper investigates the term structure of interest rates in Japan using the unit root test in a nonlinear STAR framework. The results provide strong evidence against the unit root of the yield spread between long-term and short-term interest rates, compared with standard unit root tests assuming only linear adjustment. This finding shows that the term structure of interest rates is stable with nonlinear adjustment. |
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| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
E4 - Money and Interest Rates: General |
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| Manuscript Received : Feb 05 2005 | | Manuscript Accepted : Feb 05 2005 |
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