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Regime Switches in Interest Rates
Abstract
We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-ofsample than single-regime models, including an affine multifactor model, but do not always match moments very well. Regime-switching models incorporating international short-rate and term spread information forecast better, match sample moments better, and classify regimes better than univariate regime-switching models. Finally, the regimes in interest rates correspond reasonably well with business cycles, at least in the United States.
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Cited by
Term structure models and the zero bound: An empirical investigation of Japanese yields
Kim, D. H., & Singleton, K. J. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2011.12.005 · Cited by 281
A model of carbon price interactions with macroeconomic and energy dynamics
Chevallier, J. (2011) · Energy Economics · doi:10.1016/j.eneco.2011.07.012 · Cited by 266
Metadata
- Authors
- Ang, A., & Bekaert, G.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2002-04
- Volume
- 20
- Issue
- 2
- Pages
- 163-182
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W3122420083
- Cited by
- 840
- References
- 0
- FWCI
- 73.19
- Type
- journal article
- Language
- en
- Open access
- closed
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