Author: Carlo A. FaveroPublisher:
ISBN:
Category :
Languages : en
Pages : 20
Book Description
Superexogeneity, Regime Shifts and the Term Structure of Interest Rates
Author: Carlo A. FaveroTerm Structure of Interest Rates with Regime Shifts
Author: Ravi BansalA Model of the Term Structure of Interest Rates in an Open Economy with Regime Shifts
Author: Hans DillénRegime Shifts, Risk and the Term Structure
Author: Martin D.D. EvansPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state variables and Peso problems through regime-switching. When the model is estimated using real and nominal yields from the U.K., I find that Peso problems emanating from instability in inflation have a significant impact on the nominal term structure. Peso problems affect (i) the sample predictability of excess returns, (ii) nominal term premia, and (iii) the inflation risk premia linking real and nominal yields with expected inflation.
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
Author: The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
Author: A Model of the Term Structure of Interest Rates in an Open Economywith Regime Shifts
Author: The Long and the Short End of the Term Structure of Policy Rules
Author: Josephine M. SmithPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 56
Book Description
We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's monetary policy rule for the short-term interest rate. The equation reveals two countervailing forces that help explain and understand the nature of the link and how its sign is determined. Using this equation, we show that a shift in the policy rule in the early 1980s provides an explanation for the observed shift in the term structure. We also explore a shift in the policy rule in the 2002-2005 period and its possible effect on long-term rates.
Author: Carlo Ambrogio FAVERO
Author: Kristin Ellen Adams