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Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model
http://hdl.handle.net/20.500.12000/38713
http://hdl.handle.net/20.500.12000/38713292bffb5-4193-4687-872c-db64dad84ced
名前 / ファイル | ライセンス | アクション |
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65754-239638-1-PB.pdf
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Item type | デフォルトアイテムタイプ(フル)(1) | |||||||
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公開日 | 2018-03-09 | |||||||
タイトル | ||||||||
タイトル | Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model | |||||||
言語 | en | |||||||
作成者 |
Sugita, Katsuhiro
× Sugita, Katsuhiro
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アクセス権 | ||||||||
アクセス権 | open access | |||||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
権利情報 | ||||||||
言語 | en | |||||||
権利情報 | Creative Commons Attribution 4.0 International License. | |||||||
権利情報 | ||||||||
言語 | en | |||||||
権利情報Resource | http://creativecommons.org/licenses/by/4.0 | |||||||
権利情報 | http://creativecommons.org/licenses/by/4.0 | |||||||
内容記述 | ||||||||
内容記述タイプ | Other | |||||||
内容記述 | This paper examines the US term structure of interest rates using a Bayesian Markov switching cointegration model that allows the cointegrating vectors, the number of cointegrating rank, the risk premium, and other parameters to change when regime shifts. We find that for any pair of the interest rates there is a strong support for the cointegrating implication of the expectation hypothesis at least in a stable regime, while for some pairs of the interest rates the cointegration does not occur in a high volatility regime. We find that a Markov switching cointegration model captures regime shifts that are corresponding to high inflation regime. In high inflation regime, variance is much higher for both the long and short rates and adjustment toward equilibrium is much faster than those in the other regime. | |||||||
内容記述 | ||||||||
内容記述タイプ | Other | |||||||
内容記述 | 論文 | |||||||
出版者 | ||||||||
言語 | en | |||||||
出版者 | Canadian Center of Science and Education | |||||||
言語 | ||||||||
言語 | eng | |||||||
資源タイプ | ||||||||
資源タイプ | journal article | |||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
出版タイプ | ||||||||
出版タイプ | VoR | |||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
識別子 | ||||||||
識別子 | http://hdl.handle.net/20.500.12000/38713 | |||||||
識別子タイプ | HDL | |||||||
関連情報 | ||||||||
識別子タイプ | DOI | |||||||
関連識別子 | https://doi.org/10.5539/ijef.v9n3p49 | |||||||
収録物識別子 | ||||||||
収録物識別子タイプ | ISSN | |||||||
収録物識別子 | 1916-971X | |||||||
収録物名 | ||||||||
言語 | en | |||||||
収録物名 | International Journal of Economics and Finance | |||||||
書誌情報 |
巻 9, 号 3, p. 49-56, 発行日 2017-02-15 |