Hevia, Constantino; Gonzalez-Rozada, Martin; Sola, Martin; … - Birkbeck Centre for Applied Macroeconomics - 2014
We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government bonds using a Markov switching latent variable model that allows for discrete changes in the stochastic process followed by the interest rates. Our modelling approach is motivated by evidence suggesting the...