Using the non-parametric rank tests proposed by Breitung (2001), we set out in this study to determine
whether any non-linear long-run equilibrium relationship exists between the lending and deposit rates
of G8 countries. We go on to adopt the Threshold Error-Correction Model (TECM) to determine whether
a similar relationship is discernible possibly non-linear functions of the lending and deposit rates.
These findings clearly point that there are indeed such long-run non-linear cointegration relationships
between the lending and deposit rates and successfully capture the dynamic adjustment in G8 countries.
African Journal of Business Management 5(11), pp.4432-4437