An alternative approach to the modelling of interest rate pass through and asymmetric adjustment

Author(s)
Valadkhani, Abbas
Bollen, Bernard
Publication Date
2013
Abstract
We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.
Citation
Economic Letters, 120(3), p. 491-494
ISSN
1873-7374
0165-1765
Link
https://hdl.handle.net/1959.11/13029
Publisher
Elsevier BV
Title
An alternative approach to the modelling of interest rate pass through and asymmetric adjustment
Type of document
Journal Article
Entity Type
Publication

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