Regime Switches In Interest Rates PDF Download
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Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 70 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Regime Switches in Interest Rates Book in PDF, ePub and Kindle
This paper examines the econometric performance of regime switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but univariate models are unlikely to yield consistent estimates of the model parameters. Regime-switching models incorporating international short rate and term spread information forecast better, match sample moments better, and classify regimes better than univariate models. We show that the regimes in interest rates correspond reasonably well with business cycles, at least in the US. This may explain why regime-switching models forecast interest rates better than single regime models. Finally, the non-linear interest rate dynamics implied by regime switching models have potentially important implications for the macro-economic literature documenting the effects of monetary policy shocks on economic aggregates. Moreover, the implied volatility and drift functions are rich enough to resemble those recently estimated using non-parametric techniques.
Author | : Andrew Ang |
Publisher | : |
Total Pages | : 41 |
Release | : 1998 |
Genre | : Interest rates |
ISBN | : |
Download Regime Switches in Interest Rates Book in PDF, ePub and Kindle
Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but univariate models are unlikely to yield consistent estimates of the model parameters. Regime-switching models incorporating international short rate and term spread information forecast better, match sample moments better, and classify regimes better than univariate models. We show that the regimes in interest rates correspond reasonably well with business cycles, at least in the US. This may explain why regime-switching models forecast interest rates better than single regime models. Finally, the non-linear interest rate dynamics implied by regime-switching models have potentially important implications for the macroeconomic literature documenting the effects of monetary policy shocks on economic aggregates. Moreover, the implied volatility and drift functions are rich enough to resemble those recently estimated using non-parametric techniques.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Regime Switches in Interest Rates Book in PDF, ePub and Kindle
Author | : Andrew Ang |
Publisher | : |
Total Pages | : 41 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Regime Switches in Interest Rates Crash Book in PDF, ePub and Kindle
Author | : Kristin Ellen Adams |
Publisher | : |
Total Pages | : 172 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Regime Switching in the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Steven Durlauf |
Publisher | : Springer |
Total Pages | : 417 |
Release | : 2016-04-30 |
Genre | : Business & Economics |
ISBN | : 0230280838 |
Download Macroeconometrics and Time Series Analysis Book in PDF, ePub and Kindle
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author | : Bertrand Gruss |
Publisher | : |
Total Pages | : 42 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Regime Switching Interest Rates and Fluctuations in Emerging Markets Book in PDF, ePub and Kindle
Author | : Ulf Erlandsson |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Regime Switches in Swedish Interest Rates Book in PDF, ePub and Kindle
Author | : Ulf Erlandsson |
Publisher | : |
Total Pages | : 0 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Regime Switches in Swedish Interest Rates Book in PDF, ePub and Kindle
Author | : Stephen Gray |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process Book in PDF, ePub and Kindle
This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate to exhibit both mean reversion and conditional heteroskedasticity and nests the popular generalized autoregressive conditional heteroskedasticity (GARCH) and square root process specifications. Thus, the conditional variance process accommodates volatility clustering and dependence on the level of the interest rate. Switching between regimes is governed by a first-order Markov process with state-dependent transition probabilities. The GRS model is compared with various existing models of the short rate in terms of the statistical fit of short-term interest rate data and in terms of out-of-sample forecasting performance.