{"product_id":"2940148522256","title":"South Africa\u0026#x2019;s Short and Long Term Interest Rates: A Threshold Cointegration Analysis","description":"This paper presents a two-regime vector error-correction model (VECM) with a single cointegrating vector and a threshold effect in the error-correction term. We use a Hansen-Seo (2002) algorithm to extract maximum likelihood estimates in eight threshold cointegration model s that relate short-term to long-term interest rates in South Africa for the period 1990M1-2010M7. We employ a SupLM test to test for the presence of threshold. The Hansen-Seo algorithm yields both linear and non-linear estimates plus critical values used to test threshold effects. The method is applied by relating the South Africa Reserve Bank policy rate, the repo (short-term) to intermediate (TB rate, money market rate) and long-term rates (the 10-year government bond, the loan and deposit rates). In all cases, linear cointegration is rejected in favor of a threshold effect.","brand":"ReadCycle","offers":[{"title":"Default Title","offer_id":47166298161392,"sku":"2940148522256","price":2.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/2940148522256_p0.jpg?v=1763704038","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/2940148522256","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}