On the Intertemporal Behavior of the Short-Term Rate of Interest
用均值回归模型研究短期利率的跨期行为，发现1959至1985年间利率机制三次切换，其中两次与美联储1979和1982年的货币政策变化吻合，且仅在1979-1982年期间出现显著均值回归。
This paper examines the intertemporal behavior of the short-term rate of interest in a mean-reverting model (Vasicek's elastic random walk model). Using the GoldfeldQuandt switching regressions technique, we show that the mean-reverting model switched regimes three times over the sample period (March 1959 to December 1985) and that two of these switches coincide with the 1979 and 1982 changes in Federal Reserve monetary policy on interest rates. Parameter estimates prove to be unstable over the sample period. There is evidence of slow mean reversion over the entire sample period; yet significant mean-reversion emerges only in the 1979-1982 regime.