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Potential Regime Shifts (potential + regime_shift)
Selected AbstractsTesting the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime ShiftTHE MANCHESTER SCHOOL, Issue 2003Markku Lanne The expectations hypothesis of the term structure of interest rates is tested with monthly Eurodollar deposit rates for maturities of 1, 3 and 6 months covering the period 1983:1,1999:6. Classical regression based tests indicate rejection, while tests in a new model allowing for potential regime shifts that have not occurred in the sample period lend support to the expectations hypothesis. The results imply that the potential regime shift affected the expectations concerning the longer-term interest rate only in a short period at the beginning of the sample when the interest rates were highest. [source] Term premia and the maturity composition of the Federal debt: new evidence from the term structure of interest ratesJOURNAL OF FORECASTING, Issue 7 2001Basma Bekdache Abstract This paper models bond term premia empirically in terms of the maturity composition of the federal debt and other observable economic variables in a time-varying framework with potential regime shifts. We present regression and out-of sample forecasting results demonstrating that information on the age composition of the Federal debt is useful for forecasting term premia. We show that the multiprocess mixture model, a multi-state time-varying parameter model, outperforms the commonly used GARCH model in out-of-sample forecasts of term premia. The results underscore the importance of modelling term premia, as a function of economic variables rather than just as a function of asset covariances as in the conditional heteroscedasticity models. Copyright © 2001 John Wiley & Sons, Ltd. [source] Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime ShiftTHE MANCHESTER SCHOOL, Issue 2003Markku Lanne The expectations hypothesis of the term structure of interest rates is tested with monthly Eurodollar deposit rates for maturities of 1, 3 and 6 months covering the period 1983:1,1999:6. Classical regression based tests indicate rejection, while tests in a new model allowing for potential regime shifts that have not occurred in the sample period lend support to the expectations hypothesis. The results imply that the potential regime shift affected the expectations concerning the longer-term interest rate only in a short period at the beginning of the sample when the interest rates were highest. [source] | ||||||||||