The term structure of interest rates and regime shifts

DOI10.1016/0165-1765(95)00731-8zbMath0900.90026OpenAlexW2068589526MaRDI QIDQ672787

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 switchingTerm structureRegime changes

Mathematics Subject Classification ID

Related Items (3)

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions ⋮ Bond pricing when the short-term interest rate follows a threshold process ⋮ The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

Cites Work

• Unnamed Item
• 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
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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