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The role of asymmetries and regime shifts in the term structure of interest rates
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Clarida, Richard H., Sarno, Lucio, Taylor, Mark P. and Valente, Giorgio (2006) The role of asymmetries and regime shifts in the term structure of interest rates. The Journal of Business, Vol.79 (No.3). pp. 1193-1224. doi:10.1086/500674 ISSN 0021-9398.
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Official URL: http://dx.doi.org/10.1086/500674
Abstract
We examine the term structure of interest rates for the United States, Germany, and Japan over the period 1982–2000, using a nonlinear multivariate vector equilibrium correction-modeling framework that allows for asymmetric adjustment and regime shifts. The model has a very general underlying theoretical rationale that allows for time-varying term premia and other short-run deviations from the expectations model of the term structure. The empirical models fit well, display regime switches closely correlated with key monetary policy variables, and have good forecasting properties.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Interest rates, Forecasting | ||||
Journal or Publication Title: | The Journal of Business | ||||
Publisher: | University of Chicago Press | ||||
ISSN: | 0021-9398 | ||||
Official Date: | May 2006 | ||||
Dates: |
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Volume: | Vol.79 | ||||
Number: | No.3 | ||||
Page Range: | pp. 1193-1224 | ||||
DOI: | 10.1086/500674 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | L138251044 |
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