Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Year of publication: |
2003
|
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Authors: | Tillmann, Peter |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | Zinsstruktur | Zinsstrukturtheorie | Risikoprämie | Kointegration | VAR-Modell | Schätzung | Vereinigte Staaten | Markov switching | term structure | expectations hypothesis | cointegration | Markov-switching | monetary policy |
Series: | Bonn Econ Discussion Papers ; 27/2003 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 384650562 [GVK] hdl:10419/22875 [Handle] RePEc:zbw:bonedp:272003 [RePEc] |
Classification: | E52 - Monetary Policy (Targets, Instruments, and Effects) ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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