Abstract Several studies have established the predictive power of the yield curve i.e. the difference between long and short-term bond rates and the role of asymmetries in the term structure of bond yields with respect to real economic activity. Using an extensive dataset, comprising 3-month, 1-year, 5-year and 10-year constant maturity Treasury bonds for the Eurozone southern periphery countries – the so-called “PIIGS” – from January 1999 to April 2019, we investigate the links between bond yields of different maturities for the Eurozone southern peripheral countries and we find they co-evolve in line with the predictions of the Expectations Hypothesis theory. We demonstrate the presence of nonlinearities in the term structure, and utilize a multivariate asymmetric two-regime Markov-switching VAR methodology to model them properly. Moreover, we address the economic reasoning behind the introduction of an equilibrium-correction regime-switching approach, hence providing potentially important insights on the behaviour of the entire yield curve. We reveal that the regime shifts are related to the state of the business cycle, particularly in economies in which monetary policy decisions are implemented via changes in short-term rates as a response to deviations of output from equilibrium levels. Our results may have important statistical and economic implications on the behaviour of the term structure of bond yields.

中文翻译：

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欧元区外围债券收益率的期限结构：一种不对称的政权转换均衡修正方法

摘要 多项研究确立了收益率曲线的预测能力，即长期和短期债券利率之间的差异以及不对称性在相对于实体经济活动的债券收益率期限结构中的作用。使用广泛的数据集，包括 1999 年 1 月至 2019 年 4 月欧元区南部外围国家（即所谓的“PIIGS”）的 3 个月、1 年、5 年和 10 年固定期限国债，我们调查了欧元区南部外围国家不同期限债券收益率之间的联系，我们发现它们共同演变与预期假设理论的预测一致。我们证明了期限结构中非线性的存在，并利用多元非对称二元马尔可夫切换 VAR 方法对它们进行正确建模。而且，我们解决了引入均衡修正机制转换方法背后的经济推理，从而为整个收益率曲线的行为提供了潜在的重要见解。我们揭示，制度转变与商业周期的状态有关，特别是在货币政策决策是通过短期利率变化来实施的经济体中，以应对产出偏离均衡水平。我们的结果可能对债券收益率期限结构的行为具有重要的统计和经济意义。我们揭示，制度转变与商业周期的状态有关，特别是在货币政策决策是通过短期利率变化来实施的经济体中，以应对产出偏离均衡水平。我们的结果可能对债券收益率期限结构的行为具有重要的统计和经济意义。我们揭示，制度转变与商业周期的状态有关，特别是在货币政策决策是通过短期利率变化来实施的经济体中，以应对产出偏离均衡水平。我们的结果可能对债券收益率期限结构的行为具有重要的统计和经济意义。