The role of asymmetries and regime shifts in the term structure of interest rates
Clarida, Richard H., Sarno, Lucio, Taylor, Mark P., 1958- 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 0021-9398Full text not available from this repository.
Official URL: http://dx.doi.org/10.1086/500674
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|
|Official Date:||May 2006|
|Number of Pages:||32|
|Page Range:||pp. 1193-1224|
|Access rights to Published version:||Open Access|
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