Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market
用非线性误差修正模型研究美国国库券市场收益率变动，发现交易成本导致市场仅在偏离均衡较大时才调整，且调整强度随距离均衡远近而变化。
This paper uses nonlinear error correction models to study yield movements in the US Treasury Bill Market. Nonlinear error correction arises because portfolio adjustment is an ‘on‐off’ process, which occurs only when disequilibrium in the bill market is large enough to induce investors to incur the transaction costs associated with buying/selling bills. This, together with heterogeneity of transaction costs, implies that the strength of aggregate error correction depends on both the distribution of costs and the extent of disequilibrium in the market. Smooth transition models are used to describe an aggregate adjustment process which is strong when the market is distant from equilibrium, but becomes weaker as the market approaches equilibrium. Linearity tests indicate that the types of nonlinearities that would be induced by transactions costs are statistically significant, and estimated models which incororate these nonlinearities outperform their linear counterparts, both in sample and out of sample.