Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10012605022
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and …
Persistent link: https://www.econbiz.de/10010321545