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Income distribution and the economy: Evidence from the vector autoregression model

✍ Scribed by Mohamad Shaaf

Publisher: Springer US
Year: 1998
Tongue: English
Weight: 628 KB
Volume: 4
Category: Article
ISSN: 1083-0898
DOI: 10.1007/bf02295234

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## 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