caa a22 4500 467896356 CHVBK 20180406152805.0 cr unu---uuuuu 170328e20060601xx s 000 0 eng 10.1007/s00181-005-0011-z doi (NATIONALLICENCE)springer-10.1007/s00181-005-0011-z Balcombe K. Imperial College,Wye Campus, Ashford, TN255AH, Kent, UK aut Bayesian estimation of cointegrating thresholds in the term structure of interest rates [Elektronische Daten] [K. Balcombe] Threshold Error Correction Models are used to analyse the term structure of interest Rates. The paper develops and uses a generalisation of existing models that encompasses both the Band and Equilibrium threshold models of [Balke and Fomby ((1997) Threshold cointegration. Int Econ Rev 38(3):627-645)] and estimates this model using a Bayesian approach. Evidence is found for threshold effects in pairs of longer rates but not in pairs of short rates. The Band threshold model is supported in preference to the Equilibrium model. Springer-Verlag, 2006 Threshold nationallicence Cointegration nationallicence Bayesian nationallicence Empirical Economics Physica-Verlag 31/2(2006-06-01), 277-289 0377-7332 31:2<277 2006 31 181 https://doi.org/10.1007/s00181-005-0011-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0011-z text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Balcombe K. Imperial College,Wye Campus, Ashford, TN255AH, Kent, UK aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 31/2(2006-06-01), 277-289 0377-7332 31:2<277 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer