Download or read book Regime Switches in Interest Rates written by Geert Bekaert and published by . This book was released on 2011 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Regime Switches in Interest Rates written by Andrew Ang and published by . This book was released on 1998 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Regime Switches in Interest Rates written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switches in Interest Rates Crash written by Andrew Ang and published by . This book was released on 1998 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switching in the Term Structure of Interest Rates written by Kristin Ellen Adams and published by . This book was released on 2002 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switching Interest Rates and Fluctuations in Emerging Markets written by Bertrand Gruss and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switches in Swedish Interest Rates written by Ulf Erlandsson and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switches in Swedish Interest Rates written by Ulf Erlandsson and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process written by Stephen Gray and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.

Download or read book Optimal Monetary Policy Regime Switches written by Jason Choi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Specification Testing and Semiparametric Estimation of Regime Switching Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Predicting Recessions with Interest Rate Spreads written by Ralf Ahrens and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Can Switching between Inflationary Regimes Explain Fluctuations in Real Interest Rates written by Michael Bleaney and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has recently been suggested that allowing for switches between different inflationary regimes produces a much better fit for the Fisher relationship between interest rates and inflation, at least for U.S. data. The paper assesses the merits of the regime-switching theory as an explanation for the apparent fluctuations in real interest rates in Australia, Canada, Germany, the United Kingdom, and the United States.

Download or read book Regime switching in Exchange Rate Policy and Balance Sheet Effects written by Norbert M. Fiess and published by World Bank Publications. This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: