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Because of the existence of inverted yield curves in the term structure of interest rates, the spread of interest rates should be nonlinear. To verify this, considerthe weekly U.S. interest rates of (a) Treasury 1-year constant maturity rate,denoted by r1t, and (b) Treasury 3-year constant maturity rate, denoted byr3t. The data span is from January 5, 1962 to April 2009 and the data in files w-gs3yr.txt and w-gs1yr.txt, which can be downloaded from the Federal Reserve Bank of St. Louis. Let st = r3t -r1t be the spread in log interest rates.
Please do the followings:
1. Is {st}nonlinear? To answer this question, please nd an appropriate
nonparametric model and conduct some nonlinear tests. Please draw
the conclusion using 5% signicance level.
2. Let st*= s(t) - s(t-1) be the change in interest rate spread. Is it nonlinear? To answer this question, please nd an appropriate nonparametric model and conduct some nonlinear tests. Please draw the conclusion using 5% signicance level.
w-gs3yr.txt (43.38 KB)

2013-6-7 09:42:43 上传

w-gs1yr.txt (43.38 KB)

2013-6-7 09:42:42 上传

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关键词：感激不尽 appropriate Parametric Conclusion followings structure interest Because should verify

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