Testing Uncovered Interest Rate Parity and Term Structure Using Multivariate Threshold Cointegration
作者： Jaya Krishnakumar , David Neto
DOI: 10.1007/978-3-540-77958-2_10
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摘要: A multivariate threshold vector error correction model (TVECM) is formulated to examine the expectation hypothesis of term structure (EHTS) interest rates and uncovered rate parity (UIRP) for U.S. Swiss rates. Tests no cointegration, number cointegrating relations presence effects are discussed within framework this TVECM with more than one relationship, allowing possibility a fewer in regime compared other. The results conclude that all three possible accepted. This consistent both UIRP EHTS hypothesis. strong evidence effect also found.
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