TESTING THE TERM STRUCTURE OF INTEREST-RATES USING A STATIONARY VECTOR AUTOREGRESSION WITH REGIME SWITCHING

被引：57

作者：

SOLA, M ^{[1
]}

DRIFFILL, J ^{[1
]}

机构：

[1] UNIV SOUTHAMPTON,SOUTHAMPTON SO9 5NH,HANTS,ENGLAND

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1994年 / 18卷 / 3-4期

关键词：

REGIME SWITCHING; TERM STRUCTURE OF INTEREST RATES; VECTOR AUTOREGRESSIONS;

D O I：

10.1016/0165-1889(94)90025-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The expectations model of the term structure for US data on three- and six-month treasury bills for the period 1962(1)-1987(3) is explored. The analysis allows for the nonstationarity of the data, and for unobserved stochastic switches of regime, by estimating VARs in the yield spread and the change in the three-month rate which allow the time series processes to change between regimes. In contrast to other results for the expectations model, such as those of Hamilton (1988), Mankiw and Miron (1986), and others, we find that the data do not reject the model.

引用

页码：601 / 628

页数：28

共 16 条

[1] COINTEGRATION AND TESTS OF PRESENT VALUE MODELS [J].