作　　者： ; ; ;

机构地区： 上海交通大学安泰经济与管理学院

出　　处： 《统计研究》 2006年第12期62-65,共4页

摘　　要： This paper concentrates on the relationship between the short and the long interest rate by regression and cointegration.It was found that they have same direction to each other,and the spread can explain some variant of the long interest rate.The granger cointegration relationship was not found by Johansen Test,but a threshold cointegration relationship was found between them by Enders-Siklos test.In the end,the paper gives some suggestions for the authority. This paper concentrates on the relationship between the short and the long interest rate by regression and cointegration. It was found that they have same direction to each other, and the spread can explain some variant of the long interest rate. The granger cointegration relationship was not found by Johansen Test, but a threshold cointegration relationship was found between them by Enders-Siklos test. In the end, the paper gives some suggestions for the authority.

关 键 词： 协整 利差 门限协整

领　　域： [经济管理]