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Structural break threshold VARs for predicting US recessions using the spread...
This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the... -
A joint model for the term structure of interest rates and the macroeconomy (...
We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic...
