Term structure of interest rates with regime shifts

Journal of Finance

Volumn 57, Issue 5, 2002, Pages 1997-2043

  Bansal, Ravi ^a   Zhou, Hao ^b  

^a DUKE UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038463332     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00487     Document Type: Article

References (54)

1. Andersen, Torben G., Hyung-Jin Chung, and Bent E. Sørenson, 1999, Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, Journal of Econometrics 91, 61-87.
2. Andersen, Torben G., Hyung-Jin Chung, and Bent E. Sørenson, 1999, Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, Journal of Econometrics 91, 61-87.
3. Ang, Andrew, and Geert Bekaert, 1998, Regime switches in interest rates, NBER working paper 6508, Cambridge, MA.
4. Backus, David, Silverio Foresi, Abon Mozumdar, and Liuren Wu, 2000, Predictable changes in yields and forward rates, Working paper, Stern School of Business, New York University and NBER.
5. Backus, David, and Stanley Zin, 1994, Reverse engineering the yield curve, NBER working paper 4676, Cambridge, MA.
6. Bansal, Ravi, and Wilbur John Coleman, 1996, A monetary explanation of the equity premium, term premium, and risk-free rate puzzles, Journal of Political Economy 104, 1135-1171.
7. Bansal, Ravi, A. Ronald Gallant, Robert Hussey, and George Tauchen, 1995, Nonparametric estimation of structural models for high-frequency currency market data, Journal of Econometrics 66, 251-287.
8. Bansal, Ravi, George Tauchen, and Hao Zhou, 2002, A study of alternative term structure models for the US Treasury yields, Working paper, Duke University and Federal Reserve Board.
9. Bekaert, Geert, Robert J. Hodrick, and David A. Marshall, 1997, On biases in tests of the expectation hypothesis of the term structure of interest rates, Journal of Financial Economics 44, 309-348.
10. Brown, Stephen J., and Philip H. Dybvig, 1986, The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates, Journal of Finance 41, 617-630.
11. Cai, Jun, 1994, A Markov model of switching-regime ARCH, Journal of Business and Economic Statistics 12, 309-316.
12. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets. (Princeton University Press, Princeton, NJ).
13. Campbell, John Y., and Robert J. Shiller, 1991, Yield spreads and interest rate movements: A bird's eye view, Review of Economic Studies 58, 495-514.
14. Chen, Lin, 1996, Stochastic mean and stochastic volatility - A three-factor model of the term structure of interest rates and its applications in derivatives pricing and risk management, Financial Markets, Institution, and Instruments 5, 1-88.
15. Chen, Ren-Raw, and Louis Scott, 1993, Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates, Journal of Fixed Income 3, 14-31.
16. Cochrane, John H., 2001, Asset Pricing (Princeton University Press, Princeton, NJ).
17. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
18. Dai, Qiang, 2000, Asset pricing in a neoclassical model with limited participation, Working paper, Stern School of Business, New York University.
19. Dai, Qiang, and Kenneth J. Singleton, 2000a, Expectation puzzles, time-varying risk premia, and dynamic models of the term structure, Journal of Financial Economics, forthcoming.
20. Dai, Qiang, and Kenneth J. Singleton, 2000b, Specification analysis of affine term structure models, Journal of Finance 55, 1943-1978.
21. Duarte, Jefferson, 1999, The relevance of the parameterization of price of risk in affine term structure models, Working paper, Graduate School of Business, University of Chicago.
22. Duffee, Gregory, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance 57, 405-443.
23. Duffie, Darrell, and Kenneth Singleton, 1993, Simulated moments estimation of Markov models of asset prices, Econometrica 61, 929-952.
24. Duffie, Darrell, and Kenneth Singleton, 1997, An econometric model of the term structure of interest-rate swap yields, Journal of Finance 52, 1287-1321.
25. Engle, Robert F., and Gloria González-Rivera, 1991, Semiparametric ARCH models, Journal of Business and Economic Statistics 9, 345-359.
26. Estrella, Arturo, and Gikas A. Hardouvelis, 1991, The term structure as a predictor of real economic activity, Journal of Finance 46, 555-576.
27. Evans, Martin D.D., 1998, Regime shifts, risk and the term structure, Working paper, Department of Economics, Georgetown University.
28. Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23-49.
29. Gallant, A. Ronald, and George Tauchen, 1989, Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications, Econometrica 57, 1091-1120.
30. Gallant, A. Ronald, and George Tauchen, 1996, Which moment to match? Econometric Theory 12, 657-681.
31. Gallant, A. Ronald, and George Tauchen, 1998, Reprojecting partially observed systems with application to interest rate diffusions, Journal of the American Statistical Association 93, 10-24.
32. Gallant, A. Ronald, and George Tauchen, 1999, The relative efficiency of method of moments estimators, Journal of Econometrics 92, 149-172.
33. Garcia, René, 1992, Asymptotic null distribution of the likelihood ratio test in Markov switching models, Working paper, Université de Montréal.
34. Garcia, René, and Pierre Perron, 1996, An analysis of the real interest rate under regime shifts, Review of Economics and Statistics 78, 111-125.
35. Gibbons, Michael R., and Krishna Ramaswamy, 1993, A test of the Cox, Ingersoll, and Ross model of the term structure, Review of Financial Studies 6, 619-658.
36. Gray, Stephen F., 1996, Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics 42, 27-62.
37. Hamilton, James D., 1988, Rational expectations econometric analysis of changes in regimes: An investigation of the term structure of interest rates, Journal of Economic Dynamics and Control 12, 385-423.
38. Hamilton, James D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
39. Hamilton, James D., 1990, Analysis of time series subject to changes in regime, Journal of Econometrics 45, 39-70.
40. Hansen, Bruce E., 1992, The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP, Journal of Applied Econometrics 7, s61-s82.
41. Hansen, Lars Peter, and Ravi Jagannathan, 1991, Implications of security market data for models of dynamic economies, Journal of Political Economy 99, 225-262.
42. Hansen, Lars Peter, and Ravi Jagannathan, 1997, Assessing specification errors in stochastic discount factor models, Journal of Finance 52, 557-590.
43. Harvey, Campbell R., 1988, The real term structure and consumption growth, Journal of Financial Economics 22, 305-333.
44. Jagannathan, Ravi, Andrew Kaplin, and Guoqiang Sun, 2000, An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices, Working paper, Kellogg Graduate School of Management, Northwestern University.
45. Liu, Jun, Francis A. Longstaff, and Ravit E. Mandell, 2000, The market price of credit risk: An empirical analysis of interest rate swap spread, Working paper, The Anderson School, UCLA.
46. Longstaff, Francis A., and Eduardo S. Schwartz, 1992, Interest rate volatility and the term structure: A two-factor general equilibrium model, Journal of Finance 47, 1259-1282.
47. Lucas, Robert E., 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1445.
48. Naik, Vasant, and Moon Hoe Lee, 1997, Yield curve dynamics with discrete shifts in economic regimes: Theory and estimation, Working paper, Faculty of Commerce, University of British Columbia.
49. Pearson, Neil D., and Tong-Sheng Sun, 1994, Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model, Journal of Finance 49, 1279-1304.
50. Roberds, William, and Charles H. Whiteman, 1999, Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile, Journal of Monetary Economics 44, 555-580.
51. Sargent, Thomas J., 1987, Dynamic Macroeconomic Theory (Harvard University Press, Cambridge, MA).
52. Sun, Tong-Sheng, 1992, Real and nominal interest rate: A discrete-time model and its continuous-time limit, Review of Financial Studies 5, 581-611.
53. Tauchen, George, 1997, New minimum chi-square methods in empirical finance, in D. Kreps and K. Wallis, eds.: Advances in Econometrics, Seventh World Congress (Cambridge University Press, Cambridge, U.K.).
54. Zhou, Hao, 2001, Finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model, Journal of Computational Finance 5, 89-122.