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Persistent link: https://www.econbiz.de/10013424282
This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...
Persistent link: https://www.econbiz.de/10014620951
Persistent link: https://www.econbiz.de/10005402588
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This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long-run...
Persistent link: https://www.econbiz.de/10005764754
This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...
Persistent link: https://www.econbiz.de/10004966102
This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...
Persistent link: https://www.econbiz.de/10005579851
This paper proposes a Bayesian extension of Svensson's (1991) test of target zone credibility. The credibility measures considered allow us to quantify the target zone's overall credibility at each point in time as well as a measure of long-run credibility. In an application of the new...
Persistent link: https://www.econbiz.de/10005808567
This paper demonstrates, by means of Monte Carlo experimentation, that tests of the expectations hypothesis of the term structure based on instrumental variables regressions of the change in the short rate on the relevant lagged yield spread are prone to severe over-rejection when the term...
Persistent link: https://www.econbiz.de/10005698552
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