摘要
利用恩格尔和格兰杰的协整检验表明美国短期利率和长期利率不存在协整关系,考虑到偏离短期利率和长期利率间的均衡关系而进行的非线性和不对称的调整机制,利用TAR、M TAR模型,结果也表明短期利率和长期利率不存在协整关系.由于可能存在着隐藏协整,故利用隐藏协整方法,结果表明短期利率累积正冲击与长期利率累积正冲击间存在协整关系.短期利率和长期利率有隐藏协整关系.
Using Engel and Granger cointegration test method, it shows that US shortterm and longterm interest rates are not cointegration. As asymmetric error correction toward a longrun cointegration relationship, it is also found that shortterm and longterm interest rates are not cointegration using TAR and MTAR models. As possible longrun relationship among nonstationary components of time series data, it is found that hidden shortterm and longterm interest rates are hidden cointegration.
出处
《复旦学报(自然科学版)》
CAS
CSCD
北大核心
2003年第5期779-786,共8页
Journal of Fudan University:Natural Science
关键词
协整
M—TAR
隐藏协整
cointegration
M-TAR
hidden cointegration