Regime Switches in Interest Rates

By Andrew Ang, Geert Bekaert. 2002

982 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/83bbdf1e877137b8e206d498667b5e4ba71729ba

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Citations in the corpus

Term Structure Dynamics in Theory and Reality (2003, result): “This is consistent with the findings of Ang and Bekaert [2001] from a regime-switching model estimated without the structure of a pricing model.”
Improving GARCH volatility forecasts with regime-switching GARCH (2002, positive): “A second difference between our model and existing variants concerns Gray’s (1996a) regime-switching GARCH specification, also used in Ang and Bekaert (1998). For that variant we are unable to compute the multi-period-ahead volatility forecasts needed for the detailed forecasting analysis we want to”
How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? (2004, background): “as in the Bayesian change-point setup considered by Chib (1998). In this paper we consider the problem of forecasting under breaks in the data generating process and characterize the factors that determine the loss in directional forecasting accuracy from ignoring information about breaks. Unconditi”
Whishart Quadratic Term Structure Models (2003, neutral): “Note that 16 See e.g. Ahn and Thompson (1988), Gray (1996), Evans (2000), Ang and Bekaert (2001), Piazzesi (2003), Das (2002), Bansal and Zhou (2002), Dai, Singleton, and Yang (2003). this nonlinear feature arises while the model is a special affine term structure model.”
Regime shifts in a dynamic term structure model of U.S. Treasury bond yields (2007, positive): “There is an extensive empirical literature on bond yields (particularly short-term rates) that suggests that “switching regime” models describe the historical interest rate data better than single-regime models (see, for example, Cecchetti, Lam, and Mark [1993], Gray [1996], Garcia and Perron [1996]”
Stock Return Predictability: Is it There? (2001, neutral): “For example, for Alternative 1 (3), the correlation rises from 74% (75%) in a univariate regression to 93% (84%) in a bivariate regression at a one-quarter horizon.”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, methodology): “Ang and Bekaert (2002) consider bivariate and trivariate regime switching models that capture asymmetric correlations in volatile and stable markets and characterize a US investor’s optimal asset allocation under power utility.”
Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2005, neutral): “An exception to this practice is the literature on regimeswitching models of interest rates, including, for example, Hamilton (1988), Ang and Bekaert (2002), Bansal and Zhou (2002), and Dai, Singleton, and Yang (2003).”
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (2006, methodology): “For parsimony considerations and consistent with previous research in this context (Gray, 1996; Ang and Bekaert, 2002; Bansal and Zhou, 2002), we limited ourselves to discriminating between linear models and Markov-switching models allowing for only two regimes in the VECM.”
Regime-switching stochastic volatility: Evidence from the crude oil market (2009, background): “(1987), Baillie and DeGennaro (1990), Fong (1997) report the persistent parameter above 0.”
Declining discount rates: Economic justifications and implications for long-run policy (2008, positive): “Regime switching models are well suited to capture the non-linearities in interest rates and thus they became very popular in empirical studies (see, among others, Gray (1996), Ang and Bekaert (2002)).”
Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach (2005, methodology): “…structure models can be used to constrain equation (2) (see e.g. Sola and Driffill (1994)), we adopt an unconstrained estimation strategy similar to Ang and Bekaert (2002) and instead test restrictions on the forecast combination weights.6 To select the number of states we considered values of the…”