Regime switches in interest rates:
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 univari...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1998
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6508 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 41 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV012038934 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 980702s1998 xxud||| |||| 00||| engod | ||
| 035 | |a (OCoLC)39274646 | ||
| 035 | |a (DE-599)BVBBV012038934 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Ang, Andrew |e Verfasser |0 (DE-588)124420907 |4 aut | |
| 245 | 1 | 0 | |a Regime switches in interest rates |c Andrew Ang ; Geert Bekaert |
| 264 | 1 | |a Cambridge, Mass. |c 1998 | |
| 300 | |a 41 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6508 | |
| 520 | |a 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. | ||
| 650 | 7 | |a Taux d'intérêt - Allemagne - Modèles économétriques |2 ram | |
| 650 | 7 | |a Taux d'intérêt - Grande-Bretagne - Modèles économétriques |2 ram | |
| 650 | 7 | |a Taux d'intérêt - Prévision, Théorie de la |2 ram | |
| 650 | 7 | |a Taux d'intérêt - États-Unis - Modèles économétriques |2 ram | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Interest rates |x Forecasting |x Statistical methods | |
| 650 | 4 | |a Interest rates |z Germany |x Econometric models | |
| 650 | 4 | |a Interest rates |z Great Britain |x Econometric models | |
| 650 | 4 | |a Interest rates |z United States |x Econometric models | |
| 650 | 4 | |a Stochastic analysis | |
| 651 | 4 | |a Deutschland | |
| 651 | 4 | |a Großbritannien | |
| 651 | 4 | |a USA | |
| 700 | 1 | |a Bekaert, Geert |d 1964- |e Verfasser |0 (DE-588)128834927 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6508 |w (DE-604)BV002801238 |9 6508 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w6508.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008146741 | ||
Datensatz im Suchindex
| _version_ | 1804126633970368512 |
|---|---|
| any_adam_object | |
| author | Ang, Andrew Bekaert, Geert 1964- |
| author_GND | (DE-588)124420907 (DE-588)128834927 |
| author_facet | Ang, Andrew Bekaert, Geert 1964- |
| author_role | aut aut |
| author_sort | Ang, Andrew |
| author_variant | a a aa g b gb |
| building | Verbundindex |
| bvnumber | BV012038934 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)39274646 (DE-599)BVBBV012038934 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03058nam a2200493 cb4500</leader><controlfield tag="001">BV012038934</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">980702s1998 xxud||| |||| 00||| engod</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)39274646</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV012038934</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Ang, Andrew</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124420907</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Regime switches in interest rates</subfield><subfield code="c">Andrew Ang ; Geert Bekaert</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">41 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6508</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Taux d'intérêt - Allemagne - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Taux d'intérêt - Grande-Bretagne - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Taux d'intérêt - Prévision, Théorie de la</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Taux d'intérêt - États-Unis - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="x">Forecasting</subfield><subfield code="x">Statistical methods</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="z">Germany</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="z">Great Britain</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="z">United States</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stochastic analysis</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">Deutschland</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">Großbritannien</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">USA</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Bekaert, Geert</subfield><subfield code="d">1964-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128834927</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6508</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">6508</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w6508.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-008146741</subfield></datafield></record></collection> |
| geographic | Deutschland Großbritannien USA |
| geographic_facet | Deutschland Großbritannien USA |
| id | DE-604.BV012038934 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:20:34Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008146741 |
| oclc_num | 39274646 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 41 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut Regime switches in interest rates Andrew Ang ; Geert Bekaert Cambridge, Mass. 1998 41 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6508 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. Taux d'intérêt - Allemagne - Modèles économétriques ram Taux d'intérêt - Grande-Bretagne - Modèles économétriques ram Taux d'intérêt - Prévision, Théorie de la ram Taux d'intérêt - États-Unis - Modèles économétriques ram Ökonometrisches Modell Interest rates Forecasting Statistical methods Interest rates Germany Econometric models Interest rates Great Britain Econometric models Interest rates United States Econometric models Stochastic analysis Deutschland Großbritannien USA Bekaert, Geert 1964- Verfasser (DE-588)128834927 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6508 (DE-604)BV002801238 6508 http://papers.nber.org/papers/w6508.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Bekaert, Geert 1964- Regime switches in interest rates National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Taux d'intérêt - Allemagne - Modèles économétriques ram Taux d'intérêt - Grande-Bretagne - Modèles économétriques ram Taux d'intérêt - Prévision, Théorie de la ram Taux d'intérêt - États-Unis - Modèles économétriques ram Ökonometrisches Modell Interest rates Forecasting Statistical methods Interest rates Germany Econometric models Interest rates Great Britain Econometric models Interest rates United States Econometric models Stochastic analysis |
| title | Regime switches in interest rates |
| title_auth | Regime switches in interest rates |
| title_exact_search | Regime switches in interest rates |
| title_full | Regime switches in interest rates Andrew Ang ; Geert Bekaert |
| title_fullStr | Regime switches in interest rates Andrew Ang ; Geert Bekaert |
| title_full_unstemmed | Regime switches in interest rates Andrew Ang ; Geert Bekaert |
| title_short | Regime switches in interest rates |
| title_sort | regime switches in interest rates |
| topic | Taux d'intérêt - Allemagne - Modèles économétriques ram Taux d'intérêt - Grande-Bretagne - Modèles économétriques ram Taux d'intérêt - Prévision, Théorie de la ram Taux d'intérêt - États-Unis - Modèles économétriques ram Ökonometrisches Modell Interest rates Forecasting Statistical methods Interest rates Germany Econometric models Interest rates Great Britain Econometric models Interest rates United States Econometric models Stochastic analysis |
| topic_facet | Taux d'intérêt - Allemagne - Modèles économétriques Taux d'intérêt - Grande-Bretagne - Modèles économétriques Taux d'intérêt - Prévision, Théorie de la Taux d'intérêt - États-Unis - Modèles économétriques Ökonometrisches Modell Interest rates Forecasting Statistical methods Interest rates Germany Econometric models Interest rates Great Britain Econometric models Interest rates United States Econometric models Stochastic analysis Deutschland Großbritannien USA |
| url | http://papers.nber.org/papers/w6508.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angandrew regimeswitchesininterestrates AT bekaertgeert regimeswitchesininterestrates |