Arbeitspapier
Regime Switches in Swedish Interest Rates
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional modelling of conditional heteroskedasticity. The final specification is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the benchmark processes are unable to achieve.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2002:5
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Interest Rates: Determination, Term Structure, and Effects
- Subject
-
Regime switching
forecasting
volatility
- Event
-
Geistige Schöpfung
- (who)
-
Erlandsson, Ulf
- Event
-
Veröffentlichung
- (who)
-
Lund University, School of Economics and Management, Department of Economics
- (where)
-
Lund
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Erlandsson, Ulf
- Lund University, School of Economics and Management, Department of Economics
Time of origin
- 2003
Other Objects (12)
Macroeconomic Regime Switches and Speculative Attacks
Macroeconomic regime switches and speculative attacks
Regime switches in the risk-return trade-off
Were there regime switches in U.S. monetary policy?
Monetary regime switches in India: Policy or structure?
The real interest rates across monetary policy regimes
World Real Interest Rates: A Tale of Two Regimes
Regime switches in the volatility and correlation of financial institutions
Understanding the New Keynesian model when monetary policy switches regimes
Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates
Molecular switches
Switches & Crossings
Macroeconomic Regime Switches and Speculative Attacks
Macroeconomic regime switches and speculative attacks
Regime switches in the risk-return trade-off
Were there regime switches in U.S. monetary policy?
Monetary regime switches in India: Policy or structure?
The real interest rates across monetary policy regimes
World Real Interest Rates: A Tale of Two Regimes
Regime switches in the volatility and correlation of financial institutions
Understanding the New Keynesian model when monetary policy switches regimes
Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates
Molecular switches
Switches & Crossings
Macroeconomic Regime Switches and Speculative Attacks
Macroeconomic regime switches and speculative attacks
Regime switches in the risk-return trade-off
Were there regime switches in U.S. monetary policy?
Monetary regime switches in India: Policy or structure?
The real interest rates across monetary policy regimes
World Real Interest Rates: A Tale of Two Regimes
Regime switches in the volatility and correlation of financial institutions
Understanding the New Keynesian model when monetary policy switches regimes
Monetary Policy Signaling and Movements in the Swedish Term Structure of Interest Rates
Molecular switches