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Katsuhiro Sugita
 
''Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks''
( 2015, Vol. 35 No.3 )
 
 
In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.
 
 
Keywords: Bayesian analysis, structural break, Vector autoregressive model, yield curve
JEL: C4 - Econometric and Statistical Methods: Special Topics
E4 - Money and Interest Rates: General
 
Manuscript Received : May 15 2015 Manuscript Accepted : Sep 02 2015

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