The term structure of interest rates and regime shifts: Some empirical results

被引：18

作者：

Kugler, P

机构：

[1] Department of Economics, University of Vienna, A-1010 Vienna

来源：

ECONOMICS LETTERS | 1996年 / 50卷 / 01期

关键词：

term structure; regime changes; Markov switching; VAR;

D O I：

10.1016/0165-1765(95)00731-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A test of the expectations theory of the term structure in the framework of a regime-switching VAR model for a change in the short rate and the short-long spread with Euro US$ and Euro Swiss franc rate data, points to the importance of uncertainty about the procedures of monetary policy for the rejection of the expectations theory in the US case, whereas, in the Swiss case, a time-varying term premium also seems to be relevant.

引用

页码：121 / 126

页数：6

共 9 条

[1] DO STATIONARY RISK PREMIA EXPLAIN IT ALL - EVIDENCE FROM THE TERM STRUCTURE [J].