| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4263 |
| DP4263 Can Coasean Bargaining Justify Pigouvian Taxation? | |
| Stephanie Rosenkranz; Patrick W. Schmitz | |
| 发表日期 | 2004-02-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that inquiring which parameters of the short-term interest rate equation are allowed to switch is crucial, as failing to do so may result in switching pricing models that produce no improvement (in terms of pricing) with respect to models which do not allow for regime switching, even when there are clear breaks in the data. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Term structure of interest rates Bond yields Stochastic discount factor/pricing kernel Regime switching |
| URL | https://cepr.org/publications/dp4263 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533229 |
| 推荐引用方式 GB/T 7714 | Stephanie Rosenkranz,Patrick W. Schmitz. DP4263 Can Coasean Bargaining Justify Pigouvian Taxation?. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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