Christiansen, Charlotte - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002
The paper investigates the effect of interest-rate variance on the shape of the <p> yield curve using a bivariate 2-state Markov switching model for the short-rate changes <p> and the yield curve slope. The two states are characterized by the variance of the shortrate <p> changes: Low and high variance....</p></p></p>