The term structure of interest rates and regime shifts: Some empirical results

A test of the expectations theory of the term structure in the framework of a regime-switching VAR model for a change in the short rate and the short-long spread with Euro US$ and Euro Swiss franc rate data, points to the importance of uncertainty about the procedures of monetary policy for the rejection of the expectations theory in the US case, whereas, in the Swiss case, a time-varying term premium also seems to be relevant.