Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle

By Ravi Bansal, George Tauchen, Hao Zhou. 2004

137 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e8a59a3a085c37c7e347b93dda159f584909607

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Citations in the corpus

A Comprehensive Look at the Empirical Performance ofEquity Premium Prediction II (2008, unknown): “• Bossaerts and Hillion (1999) interpret the OOS performance of the dividend yield (not dividend price ratio) to be a failure, too.”
The Term Structure of Real Rates and Expected Inflation (2008, unknown): “The variable qt controls the time-variation of the price of risk associated with γt in (6) and does not switch regimes.”
No-Arbitrage Taylor Rules (2007, unknown): “To compute the variance of yields due to risk premia, we partition the bond coefficient bn onXt in equation (5) into an EH term and into a risk-premia term:”
Regime dependent determinants of credit default swap spreads (2008, background): “…the variables examined are stock returns, interest rates and exchange rates (see Turner et al., 1989; Perez-Quiros and Timmermann, 2000; Taylor, 2004; Bansal et al., 2004; Alexander and Dimitriu, 2005; Cheung and Erlandsson, 2005; Francis and Owyang, 2005; Clarida et al., 2006 and many others).”
Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach (2005, background): “Other papers documenting non-linearities in short-term interest rates include Hamilton (1988), Sola and Driffill (1994), Gray (1996), Ang and Bekaert (2002) and Bansal, Tauchen, and Zhou (2004).”
Regime Changes and Financial Markets (2012, background): “Bansal and Zhou (2002) and Bansal, Tauchen and Zhou (2004) develop approximate solutions of the form when all parameters switch under both the real and risk-neutral measures.”
Bond Liquidity Premia (2012, background): “Bansal, Tauchen and Zhou [8] consider models with regime shifts.”
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (2006, methodology): “Consistent with the findings reported in Bansal and Zhou (2002) and Bansal et al. (2004), we confirm that the business cycle (output gap) is indeed important in explaining the dynamics of the regime-switching probabilities.”
Time-varying short-horizon predictability ☆ (2008, unknown): “…evidence previously cited regarding the short rate coupled with the findings by Ang and Bekaert (2002b), Ang et al. (2008), Bansal and Zhou (2002), Bansal et al. (2004), and Boudoukh et al. (1999) suggest the inclusion of term spread information improves the ability to forecast the short rate…”
Forecasting: theory and practice (2020, background): “MSMs can reproduce the empirical puzzles that plague the EH (Bansal et al., 2004; Dai et al., 2007). Finally, MSMs were proposed to forecast conditional variances. Cai (1994) developed a MS ARCH”