Articlegreen2006

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*

Richard H. Clarida · Lucio Sarno · Mark P. Taylor · Giorgio Valente

122 citations0/0 files storedThe Journal of Business

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Richard H. Clarida, Lucio Sarno, Mark P. Taylor, Giorgio Valente, The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, The Journal of Business, Vol. 79, No. 3 (May 2006), pp. 1193-1224

Citations in this library

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References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993Discretion versus policy rules in practice 1994Comparing Predictive Accuracy 1999The Science of Monetary Policy: A New Keynesian Perspective 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1

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