Term Structure Of Interest Rates With Regime Shifts
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Term Structure Of Interest Rates With Regime Shifts
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Author : Ravi Bansal
language : en
Publisher:
Release Date : 2001
Term Structure Of Interest Rates With Regime Shifts written by Ravi Bansal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Interest rate risk categories.
The Role Of Asymmetries And Regime Shifts In The Term Structure Of Interest Rates
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Author :
language : en
Publisher:
Release Date : 2005
The Role Of Asymmetries And Regime Shifts In The Term Structure Of Interest Rates written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Regime Shifts In The Danish Term Structure Of Interest Rates
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Author : Tom Engsted (FIN)
language : en
Publisher:
Release Date : 1998
Regime Shifts In The Danish Term Structure Of Interest Rates written by Tom Engsted (FIN) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
The Role Of Asymmetries And Regime Shifts In The Term Structure Of Interest Rates
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Author :
language : en
Publisher:
Release Date : 2005
The Role Of Asymmetries And Regime Shifts In The Term Structure Of Interest Rates written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Interest rates categories.
A Model Of The Term Structure Of Interest Rates In An Open Economy With Regime Shifts
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Author : Hans Dillén
language : en
Publisher:
Release Date : 1994
A Model Of The Term Structure Of Interest Rates In An Open Economy With Regime Shifts written by Hans Dillén and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Regime Shifts In The Danish Term Structure Of Interest Rates
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Author : Tom Engsted
language : en
Publisher:
Release Date : 1998
Regime Shifts In The Danish Term Structure Of Interest Rates written by Tom Engsted and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Regime Shifts In A Dynamic Term Structure Model Of U S Treasury Bond Yields
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Author : Qiang Dai
language : en
Publisher:
Release Date : 2014
Regime Shifts In A Dynamic Term Structure Model Of U S Treasury Bond Yields written by Qiang Dai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This article develops and empirically implements an arbitrage-free, dynamic term structure model with priced factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime-shift and factor risks. Using monthly data on U.S. Treasury zero-coupon bond yields, we show a critical role of priced, state-dependent regime-shift risks in capturing the time variations in expected excess returns, and document notable differences in the behaviors of the factor risk component of the expected returns across high and low volatility regimes. Additionally, the state dependence of the regime-switching probabilities is shown to capture an interesting asymmetry in the cyclical behavior of interest rates. The shapes of the term structure of volatility of bond yield changes are also very different across regimes, with the well-known hump being largely a low-volatility regime phenomenon.
Regime Shifts Risk And The Term Structure
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Author : Martin D.D. Evans
language : en
Publisher:
Release Date : 2010
Regime Shifts Risk And The Term Structure written by Martin D.D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state variables and Peso problems through regime-switching. When the model is estimated using real and nominal yields from the U.K., I find that Peso problems emanating from instability in inflation have a significant impact on the nominal term structure. Peso problems affect (i) the sample predictability of excess returns, (ii) nominal term premia, and (iii) the inflation risk premia linking real and nominal yields with expected inflation.
A Model Of The Term Structure Of Interest Rates In An Open Economywith Regime Shifts
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Author :
language : en
Publisher:
Release Date : 2000
A Model Of The Term Structure Of Interest Rates In An Open Economywith Regime Shifts written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
An Econometric Model Of The Term Structure Of Interest Rates Under Regime Switching Risk
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Author : Shu Wu
language : en
Publisher:
Release Date : 2008
An Econometric Model Of The Term Structure Of Interest Rates Under Regime Switching Risk written by Shu Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model features an analytically simple representation of Markov regime shifts that helps elucidate the effect of regime shifts on the yield curve and give a clear interpretation of regime-switching risk premiums. The model falls within the broad class of essentially affine models with a closed form solution of the yield curve, yet it is flexible enough to accommodate priced regime-switching risk, time-varying transition probabilities, regime-dependent mean reversion coefficients as well as stochastic volatilities within each regime. A two-factor version of the model is implemented using Efficient Method of Moments. Empirical results show that the model can account for many salient features of the yield curve in the U.S.