A nonlinear DSGE model of the term structure with regime shifts

Oreste Tristani and Gianni Amisano

No 234, 2010 Meeting Papers from Society for Economic Dynamics

Abstract: We construct and estimate the term structure implications of a small DSGE model with nominal rigidities in which the laws of motion of the structural shocks are subject to stochastic regime shifts. We demonstrate that, to a second order approximation, switching regimes generate time-varying risk premia. We then estimate the model on US data relying on information from both macroeconomic variables and the term structure. Our results support the specification with regime-switching: heteroskedasticity is a clear feature of the model's residuals and the regimes have intuitively appealing features. The model also generates non-negligible time-variability in excess holding period returns.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2010/paper_234.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed010:234

Access Statistics for this paper

More papers in 2010 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().