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Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
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Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model (2021)Modelling Mortgage Rate Changes with a Sm…Why Do Central Banks Smooth Interest Rates? 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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 2003Time-Varying Smooth Transition Autoregressive Models224 cited
  • 1999Modeling Multiple Regimes in the Business Cycle190 cited
  • 1997Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market182 cited
  • 1996Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash150 cited
  • 1985Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model138 cited
  • 1993Neural networks: Forecasting breakthrough or passing fad?107 cited
  • 2008Affine Term-Structure Models: Theory and Implementation90 cited
  • 1997Nonlinear Error-Correction Models for Interest Rates in The Netherlands71 cited
  • 1999Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate62 cited
  • 2021The Resolution of International Financial Crises: Private Finance and Public Funds55 cited
  • 2021Evaluating Factor Models: An Application to Forecasting Inflation in Canada50 cited

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1984
THE SENSITIVITY OF THE PRIME RATE TO MONEY MARKET CONDITIONS
38 cited
  • 2021Why Do Central Banks Smooth Interest Rates?32 cited
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