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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. 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 multi-variate 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 |
|---|---|
| Subjects: | H Social Sciences > HF Commerce |
| Divisions: | Faculty of Social Sciences > Warwick Business School |
| Journal or Publication Title: | The Journal of Business |
| Publisher: | University of Chicago Press |
| ISSN: | 0021-9398 |
| Date: | May 2006 |
| Volume: | Vol.79 |
| Number: | No.3 |
| Number of Pages: | 32 |
| Page Range: | pp. 1193-1224 |
| Identification Number: | 10.1086/500674 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Open Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/33679 |
Data sourced from Thomson Reuters' Web of Knowledge
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