Term Structure of Interest Rates with Regime Shifts
构建了一个短期利率和风险市场价格受离散体制转换影响的期限结构模型，实证表明该模型能解释预期假说违背、条件波动率和收益率间条件相关性，且体制与商业周期密切相关。
ABSTRACT 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.