書誌事項
- 公開日
- 2002-10
- 権利情報
-
- http://onlinelibrary.wiley.com/termsAndConditions#vor
- DOI
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- 10.1111/0022-1082.00487
- 公開者
- Wiley
この論文をさがす
説明
<jats:title>ABSTRACT</jats:title><jats:p>We develop a term structure model where the short interest rate and the market price of risks are subject to discrete regime shifts. Empirical evidence from efficient method of moments estimation provides considerable support for the regime shifts model. Standard models, which include affine specifications with up to three factors, are sharply rejected in the data. Our diagnostics show that only the regime shifts model can account for the well‐documented violations of the expectations hypothesis, the observed conditional volatility, and the conditional correlation across yields. We find that regimes are intimately related to business cycles.</jats:p>
収録刊行物
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- The Journal of Finance
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The Journal of Finance 57 (5), 1997-2043, 2002-10
Wiley