Modeling the conditional distribution of interest rates as a regime-switching process
A generalized regime-switching model (GRS) is developed for the short-term interest rate. The short rate has a different degree of mean reversion and a different form of conditional heteroskedasticity in each regime. The form of each regime is general with certain specifications. A first order Markov process with state-dependent transition probabilities governs the switching between the regimes.
Publication Name: Journal of Financial Economics
Canada: life beyond the looking glass
Research is presented describing the economic, social and cultural relationship between Canada and the North America, promoting further tax and trade reforms to increase Canadian visibility in the United States.
Publication Name: Journal of Economic Perspectives
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