LI, HAITAO; XU, YUEWU - In: International Review of Finance 9 (2009) 3, pp. 211-241
We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits...