No-Arbitrage Taylor Rules with Switching Regimes

References

• Ang A, Piazzesi M (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. J. Monetary Econom. 50:745–787.Crossref, Google Scholar
• Ang A, Dong S, Piazzesi M (2007) No-arbitrage Taylor rules. Technical report, Columbia University, New York.Google Scholar
• Ang A, Boivin J, Dong S, Loo-Kung R (2011) Monetary policy shifts and the term structure. Rev. Econom. Stud. 78:429–457.Crossref, Google Scholar
• Bakshi GS, Chen Z (1996) Inflation, asset prices, and the term structure of interest rates in monetary economies. Rev. Financial Stud. 9:241–275.Crossref, Google Scholar
• Bansal R, Zhou H (2002) Term structure of interest rates with regime shifts. J. Finance 57:1997–2043.Crossref, Google Scholar
• Bernanke BS (2004) “The Great Moderation”: Remarks at the meetings of the Eastern Economic Association. Technical report, Federal Reserve Bank.Google Scholar
• Bernanke BS (2010) Monetary policy and the housing bubble. Technical report, Presentation at the Annual Meeting of the American Economic Association, Atlanta.Google Scholar
• Bikbov R, Chernov M (2008) Monetary policy regimes and the term structure of interest rates. Technical report, Columbia University, New York.Google Scholar
• Boivin J (2006) Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. J. Money, Credit, and Banking 38:1149–1173.Crossref, Google Scholar
• Clarida R, Galí J, Gertler M (2000) Monetary policy rules and macroeconomic stability: Evidence and some theory. Quart. J. Econom. 115:147–180.Crossref, Google Scholar
• Dai Q, Singleton KJ, Yang W (2007) Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. Rev. Financial Stud. 20:1669–1706.Crossref, Google Scholar
• Diebold FX, Piazzesi M, Rudebusch GD (2005) Modeling bond yields in finance and macroeconomics. Amer. Econom. Rev. 95:415–420.Crossref, Google Scholar
• Eraker B, Johannes MS, Polson N (2003) The impact of jumps in returns and volatility. J. Finance 53:1269–1300.Crossref, Google Scholar
• Farnsworth H, Li T (2007) The dynamics of credit spreads and ratings migrations. J. Financial Quant. Anal. 42:595–620.Crossref, Google Scholar
• Hamilton JD, Pruitt S, Borger SC (2011) Estimating the market-perceived monetary policy rule. Amer. Econom. J.: Macroeconomics 3:1–28.Crossref, Google Scholar
• Kass RE, Raftery AE (1995) Bayes factors. J. Amer. Statist. Assoc. 90:773–795.Crossref, Google Scholar
• Li H, Wells MT, Yu C (2008) A Bayesian analysis of return dynamics with Lévy jumps. Rev. Financial Stud. 21:2345–2378.Crossref, Google Scholar
• Lu B, Wu L (2009) Macroeconomic releases and the interest rate term structure. J. Monetary Econom. 56:872–884.Crossref, Google Scholar
• Rudebusch GD (2010) Macro-finance models of interest rates and the economy. The Manchester School 78:25–52.Crossref, Google Scholar
• Taylor JB (1993) Discretion versus policy rules in practice. Carnegie-Rochester Conf. Series on Public Policy 39:195–214.Crossref, Google Scholar
• Taylor JB (1999) A historical analysis of monetary policy rules. Taylor JB, ed. Monetary Policy Rules (University of Chicago Press, Chicago), 319–340.Crossref, Google Scholar
• Wu L, Zhang F (2008) A no-arbitrage analysis of economic determinants of the credit spread term structure. Management Sci. 54:1160–1175.Link, Google Scholar