The term structure of interest rates and regime shifts

DOI10.1016/0165-1765(95)00731-8MaRDI QIDQ672787zbMATH OpenOpenAlexFDO

Authors Peter Kugler

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00731-8

zbMATH Keywords

VARMarkov switchingRegime changesTerm structure

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 735008 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

Cited in

(26)

• Bond pricing when the short-term interest rate follows a threshold process
• The persistence in volatility of the US term premium 1970--1986
• The term structure of interest rates over the business cycle
• Regime-switching univariate diffusion models of the short-term interest rate
• From structural assumptions to a link between assets and interest rates
• The term premium, time varying interest rate volatility and central bank policy reaction
• Switching regimes in the term structure of interest rates during U.S. post-war: a case for the Lucas proof equilibrium?
• The term structure of interest rates under regime shifts and jumps
• Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates
• Interest rate dynamics and consistent forward rate curves
• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• Are German money market rates well behaved?
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Spectral analysis as a tool for financial policy: an analysis of the short-end of the British term structure
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
• The effects of monetary policy regime shifts on the term structure of interest rates
• The term structure of interest rates over the business cycle
• The Term Structure of Interest Rates: Bounded or Falling?
• Term structure views of monetary policy under alternative models of agent expectations
• Short rate nonlinearities and regime switches.
• Regime changes and interest rate risk
• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
• Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes.
• scientific article; zbMATH DE number 6472000 (Why is no real title available?)
• Uncertainty on monetary policy and the expectations model of the term structure of interest rates
• Monetary policy regimes and the term structure of interest rates

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