Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US , UK and Germany

@inproceedings{Kesriyeli2004NonlinearityAS,
  title={Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US , UK and Germany},
  author={Mehtap Kesriyeli and Denise R. Osborn and Marianne Sensier},
  year={2004}
}
This paper analyses monthly values of the short-term interest rate for the US, the UK and Germany since the early 1980s in the context of possible nonlinearities and changes over time in the interest rate response to the output gap, inflation, past interest rate changes and external variables (world commodity prices and the real exchange rate). The statistical models used are of the smooth transition class, with very substantial evidence of nonlinearity and/or parameter instability uncovered in… CONTINUE READING