No-Arbitrage Taylor Rules with Switching Regimes - PubsOnLine
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Apr 22, 2013 · We study the time-varying nature of U.S. monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term ...
Jan 12, 2011 · We study the time-varying nature of US monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term ...
We develop a continuous-time regime-switching model for the term structure of interest rates, in which the spot rate follows the Taylor rule, and government ...
Abstract. We study the time-varying nature of U.S. monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term structure ...
We study the time-varying nature of U.S. monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term structure model.
2 days ago · We study the time-varying nature of U.S. monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term ...
According to the Taylor (1993) rule, the Fed sets short interest rates by reacting to CPI inflation and the deviation of GDP from its trend. To exploit the ...
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According to the Taylor (1993) rule, the Fed sets the short-term interest rate by reacting to. CPI inflation and the output gap. To exploit the cross-equation ...
Jun 17, 2011 · We develop a continuous-time regime-switching model for the term structure of interest rates, in which the spot rate follows the Taylor rule.
We find that inflation and GDP growth account for over half of the time-variation of yield levels and we attribute almost all of the movements in the term.