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- W1550164427 abstract "This paper incorporates the systematic risk of regime shifts into a general equilibrium model of the term structure of interest rates. The model shows that there is a new source of time-variation in bond term premiums in the presence of regime shifts. This new component is a regime-switching risk premium that depends on the covariations between discreet changes in marginal utility and bond prices across different regimes. A closed-form solution for the term structure of interest rates is obtained under an affine model using log-linear approximation. The model is estimated by Efficient Method of Moments. The regime-switching risk is found to be statistically significant and mostly affect the long-end of the yield curve" @default.
- W1550164427 created "2016-06-24" @default.
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- W1550164427 date "2004-08-11" @default.
- W1550164427 modified "2023-09-27" @default.
- W1550164427 title "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk" @default.
- W1550164427 hasPublicationYear "2004" @default.
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