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A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach

โœ Scribed by Jyh-Lin Wu; Pei-Fen Chen

Book ID
116423792
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
359 KB
Volume
25
Category
Article
ISSN
0264-9993

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โœ Ilias Lekkos; Costas Milas ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 595 KB

## Abstract This paper produces evidence in support of the existence of common risk factors in the U.S. and UK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR) framework, we show that the dynamics of the U.S. and UK swap spreads are best described by a regim