Short rate nonlinearities and regime switches

By Andrew Ang, Geert Bekaert. 2002

200 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/96b7209415395b772fd64be2d6e001b597804aa3

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Citations in the corpus

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (2011, background): “Some authors [ 3 , 7] pointed out that the Ait-Sahalia test has poor finite sample performance because of persistent dependence in interest rate data and slow convergence of the nonparametric density estimator.”
Regime shifts in a dynamic term structure model of U.S. Treasury bond yields (2007, unknown): “to those in previous studies, both for descriptive and pricing models (e.g., Ang and Bekaert [2002b] and Bansal and Zhou [2002]) that assume constant ratings transitions probabilities.”
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (2006, unknown): “We use a sample of monthly yield curve observations as in the empirical studies for example by Ang and Bekaert (2000) and De Jong (2000).”
The Term Structure of Real Rates and Expected Inflation (2008, unknown): “In our first model (Section 3.1 and 3.2), we accommodate two possible regimes, as is customary in the literature on regime switches in nominal short rates (see, for example, Hamilton, 1988; Gray, 1996; Ang and Bekaert, 2002a).”
Regime Switches in Interest Rates (2002, unknown): “In particular, Ang and Bekaert (2000) showed that two-state RS models can replicate the nonparametric drift and volatility functions of the short rate estimated by Aït-Sahalia (1996) and Stanton (1997).”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “, Gray (1996) and Ang and Bekaert (2002)), and recently Naik and Lee (1997), Evans (2000), Boudoukh, Richardson, Smith, and Whitelaw (1999), Bansal and Zhou (2002), Ang and Bekaert (2005), and Dai, Singleton, and Yang (2005), among others, have introduced regime switching into DTSMs.”
On Markov‐modulated Exponential‐affine Bond Price Formulae (2009, background): “Ang and Bekaert (2002a) explore the presence of regime-switching effects in market interest rates and study the performance of regime-switching models in fitting interest rate data from the United States, Germany and the United Kingdom (see also Ang and Bekaert, 2002b).”
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…”
Regime Changes and Financial Markets (2012, background): “Ang and Bekaert (2002c) interpret this as arising from the smoothing efforts of activist monetary policy during normal times.”
Nonlinear Mean Reversion in the Short-Term Interest Rate (2003, background): “Bekaert, Hodrick, and Marshall (2000) propose to explain empirical findings of the expectations hypothesis using a regime-switching model that Ang and Bekaert (2002) have shown is capable of capturing nonlinear behavior in the short rate.”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “, Bansal and Zhou 2002, Ang and Bekaert 2002, Dai, Singleton, and Yang 2003). Our work is different in two respects: (i) we do not model regimes of interest rates, but instead fundamental regimes (both real and inflationary), and (ii) the regimes are unobserved, so that volatility of interest rates ”
Forecasting: theory and practice (2020, unknown): “ with regime shifts in parameters, and in particular Markov switching models (MSMs), are useful at forecasting rates. This occurs not despite the non-linear nature of MSMs but because of such nature (Ang and Bekaert, 2002b) that allows them to capture the pervasive of nonlinearities in the term stru”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “This induces a similar shape to the conditional mean function as the one documented by Ait-Sahalia (1996) and Ang and Bekaert (2002).”
A Powerful Test for Linearity When the Order of Integration is Unknown (2007, background): “Many empirical studies have found evidence for nonlinearity in the evolution of short-term interest rate series over time; see, inter alia, Hamilton (1988), Gray (1996), Barkoulas et al. (1997), Ang and Bekaert (2002a, 2002b) and Audrino (2006).”