caa a22 4500 386309094 CHVBK 20180307111539.0 cr unu---uuuuu 161130e198812 xx s 000 0 eng 10.2307/2331080 doi S0022109000013247 pii (NATIONALLICENCE)cambridge-10.2307/2331080 On the Intertemporal Behavior of the Short-Term Rate of Interest [Elektronische Daten] This paper examines the intertemporal behavior of the short-term rate of interest in a mean-reverting model (Vasicek's elastic random walk model). Using the Goldfeld-Quandt switching regressions technique, we show that the mean-reverting model switched regimes three times over the sample period (March 1959 to December 1985) and that two of these switches coincide with the 1979 and 1982 changes in Federal Reserve monetary policy on interest rates. Parameter estimates prove to be unstable over the sample period. There is evidence of slow mean reversion over the entire sample period; yet significant mean-reversion emerges only in the 1979n1982 regime. Copyright © School of Business Administration, University of Washington 1988 Sanders Anthony B. Unal Haluk Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 417-423 0022-1090 23:4<417 1988 23 JFQ https://doi.org/10.2307/2331080 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331080 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Sanders Anthony B. NATIONALLICENCE 700 1- Unal Haluk NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 417-423 0022-1090 23:4<417 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge