Term Structure of Interest Rates With Regime Shifts  

Oleh:

Bansal, Ravi ; Hao, Zhou

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 1997-2044.
Topik: INTEREST RATES; studies; interest rates; models; business cycles; bond markets; estimating tecniques
Fulltext: p 1997.pdf (762.62KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop a term structure model where the short interest rate and the market price of risks are subject to discrete regime shifts. Empirical evidence from efficient method of moments estimation provides considerable support for the regime shifts model. Standard models, which include affine specifications with up to 3 factors, are sharply rejected in the data. The diagnostics show that only the regime shifts model can account for the well - documented violations of the expectations hypothesis, the observed conditional volatility, and the conditional correlation across yields. We find that regimes are intimately related to business cycles.

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