Monetary policy regimes and the term structure of interest rates

DOI10.1016/j.jeconom.2013.01.002zbMath1277.91136OpenAlexW2009164383MaRDI QIDQ386942

Ruslan Bikbov, Mikhail Chernov

Publication date: 11 December 2013

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://economicdynamics.org/meetpapers/2009/paper_334.pdf

zbMATH Keywords

monetary policyterm structureregime-switching modelno-arbitrage

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Monetary policy and risk-based asset allocation ⋮ Long memory affine term structure models ⋮ The effects of monetary policy regime shifts on the term structure of interest rates ⋮ A model for policy interest rates ⋮ Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model

Uses Software

• bvarsv

Cites Work

• A joint econometric model of macroeconomic and term-structure dynamics
• Impulse response analysis in nonlinear multivariate models
• BOOTSTRAPPING THE LONG RUN
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Time Varying Structural Vector Autoregressions and Monetary Policy

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