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Inflation regimes in the US term structure of inetrest rates
Tillmann, Peter - In: Economic modelling 24 (2007) 2, pp. 203-223
Persistent link: https://www.econbiz.de/10003415656
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Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Tillmann, Peter - 2003
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...
Persistent link: https://www.econbiz.de/10010263095
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Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Tillmann, Peter - University of Bonn, Germany - 2003
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...
Persistent link: https://www.econbiz.de/10004968408