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The Phillips curve, regime switching, and the NAIRU

✍ Scribed by Piero Ferri; Edward Greenberg; Richard H. Day


Book ID
117349846
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
153 KB
Volume
46
Category
Article
ISSN
0167-2681

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Regime switching in the yield curve
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## Abstract The article investigates the effect of interest‐rate variance on the shape of the yield curve with the use of a bivariate two‐state Markov switching model for the short‐rate changes and the yield curve slope. The two states are characterized by the variance of the short‐rate changes: lo