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

Abbas Valadkhani; Bernard Bollen

doi:10.1016/j.econlet.2013.06.006

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

Abbas Valadkhani
, Bernard Bollen

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

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.

Original language	English
Pages (from-to)	491-494
Journal	Economic Letters
Volume	120
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2013.06.006
Publication status	Published - 31 Dec 2013

Keywords

Macroeconomics (incl Monetary and Fiscal Theory)

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10.1016/j.econlet.2013.06.006

https://hdl.handle.net/1959.11/13029

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title = "An alternative approach to the modelling of interest rate pass through and asymmetric adjustment",

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.",

keywords = "Macroeconomics (incl Monetary and Fiscal Theory)",

author = "Abbas Valadkhani and Bernard Bollen",

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AU - Bollen, Bernard

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N2 - 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.

AB - 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.

KW - Macroeconomics (incl Monetary and Fiscal Theory)

U2 - 10.1016/j.econlet.2013.06.006

DO - 10.1016/j.econlet.2013.06.006

M3 - Article

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VL - 120

SP - 491

EP - 494

JO - Economic Letters

JF - Economic Letters

IS - 3

ER -

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

Abstract

Keywords

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