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Browsing ECO Articles by Subject "threshold models"
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Title:Testing the Expectations Theory of the Term Structure of Interest Rates in Threshold Models
Author(s):CLEMENTS, Michael P.; GALVAO, Ana Beatriz C.Date:2003Type of Publication:ArticleAbstract:We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the ...