Krishnakumar, Jaya; Neto, David - Institut d'Economie et Econométrie, Université de Genève - 2009
In this paper a three-regime multivariate threshold vector error correction model (TVECM) with a "band of inaction" is formulated to examine the expectation hypothesis of the term structure (EHTS) of interest rates and uncovered interest rate parity (UIRP) for U.S. and Swiss rates. Tests for no...