In this paper, we focus on modeling and predicting the loss distribution for credit risky assets
such as bonds and loans. We model the probability of default and the recovery rate given …

This article presents a dynamic Nelson–Siegel term structure model subject to regime shifts.
To estimate the model, we introduce the reversible jump Markov chain Monte Carlo method …

The regime-switching Lévy model combines jump-diffusion under the form of a Lévy
process, and Markov regime-switching where all parameters depend on the value of a …

The aftermath of the 2008 financial crisis has seen two types of monetary policy concerns.
Some economists (eg Paul Krugman) worry primarily about possible deflation caused by a …

This paper presents a regime-switching Nelson–Siegel term structure model with macro
factors and introduces a Markov chain Monte Carlo procedure to estimate the model. We …

Purpose The purpose of this paper is to reveal the economic impact of policy reversals
related to market liberalization reforms in China. Design/methodology/approach To perform …

The evidence from the repo market is more supportive to the expectations hypothesis, but
term structure anomalies still remain. Using the Bekaert–Hodrick–Marshall (2001) method …

The paper models monetary-fiscal interactions in the aftermath of an economic downturn
and presence of fiscal stress. It focuses on the strategic aspect of the interaction between the …

We study optimal monetary policy, macro dynamics and their implications on the term
structure of interest rates in a continuous-time New-Keynesian model. With a quadratic cost …

This study contributes to the existing literature on the empirical characteristics of virtual
currency allowing for a dynamic transition between different economic regimes and …