The topic related to the costs in terms of welfare generated by economic fluctuations was highly debated in the macroeconomic research. Lucas opened the debate in this regard in a seminal paper in 1987 by asking what will be the gain in terms of consumption units by eliminating the economic...

This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area...