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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

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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