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- W3124968221 abstract "The paper investigates the effect of interest-rate variance on the shape of the yield curve using a bivariate 2-state Markov switching model for the short-rate changes and the yield curve slope. The two states are characterized by the variance of the shortrate changes: Low and high variance. In the high variance regime the yield curve becomes steeper with the interest-rate variance, in the low variance regime the slope is independent hereof. A non-switching specification amounts to averaging across the two states. The economy is in the high variance state during unusual economic periods." @default.
- W3124968221 created "2021-02-01" @default.
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- W3124968221 date "2002-05-09" @default.
- W3124968221 modified "2023-09-27" @default.
- W3124968221 title "Regime Switching in the Yield Curve" @default.
- W3124968221 hasPublicationYear "2002" @default.
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