We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of...

My dissertation is motivated by the limited number of multivariate macro-finance asset pricing models which allow for (multiple threshold) regime shifts. Indeed, after more than 35 years of research on asset pricing, one of the central unresolved problems in the financial literature is the...