Saltoglu, BurakYazgan, M. Ege2024-07-182024-07-1820121540-496X1558-0938https://doi.org/10.2753/REE1540-496X4806S504https://hdl.handle.net/11411/8149In this paper, we investigate the interrelationships among Turkish interest rates having different maturities by using a regime-switching vector error correction model. We find a relationship of long-run equilibrium among interest rates having various maturities. Furthermore, we conclude that term structure dynamics exhibit significant nonlinearity. A forecasting experiment also reveals that the nonlinear term structure models fare better in forecasting than other linear specifications. However, we cannot conclude that interest rate adjustments are made in an asymmetric way in the long run.eninfo:eu-repo/semantics/openAccessCointegrationForecast EvaluationForecastingRegime SwitchingTerm Structure Of İnterest RatesTestsArticle10.2753/REE1540-496X4806S504634848Q1WOS:000314508100005