The effects of monetary policy regime shifts on the term structure of interest rates

DOI10.1515/snde-2013-0031zbMath1506.62394OpenAlexW3125890088MaRDI QIDQ2687866

Kyu Ho Kang, Azamat Abdymomunov

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0031

zbMATH Keywords

term structure of interest ratesaffine no-arbitrage modelMarkov switching process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• SIMANN

Cites Work

• What does the yield curve tell us about GDP growth?
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• No-arbitrage macroeconomic determinants of the yield curve
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• SIMANN: A Global Optimization Algorithm using Simulated Annealing
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• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Bayesian Measures of Model Complexity and Fit
• Marginal Likelihood From the Metropolis–Hastings Output