A regime-switching term structure model with observable state variables

2010 ◽  
Vol 7 (2) ◽  
pp. 103-109 ◽  
Author(s):  
René Ferland ◽  
Geneviève Gauthier ◽  
Simon Lalancette
Keyword(s):  
Term Structure ◽  
Regime Switching ◽  
Structure Model ◽  
State Variables ◽  
Term Structure Model ◽  
Observable State

A simple regime switching term structure model

2000 ◽  
Vol 4 (4) ◽  
pp. 409-429 ◽  
Author(s):  
Asbjørn T. Hansen ◽  
Rolf Poulsen
Keyword(s):  
Term Structure ◽  
Regime Switching ◽  
Structure Model ◽  
Term Structure Model

scholarly journals Term Structure Forecasts of Long-Term Consumption Growth

2005 ◽  
Vol 40 (2) ◽  
pp. 241-258 ◽  
Author(s):  
Andrea Berardi ◽  
Walter Torous
Keyword(s):  
Term Structure ◽  
Structure Data ◽  
Growth Rates ◽  
Structure Model ◽  
Sample Period ◽  
State Variables ◽  
Consumption Growth ◽  
Term Structure Model ◽  
Term Spread

AbstractRelying on a simple general equilibrium model of the term structure, we show that both nominal yields and real consumption growth rates can be affine in the unobservable state variables. We can then express real consumption growth rates in terms of nominal yields rather than the unobservable state variables with the coefficients of the resultant forecasting relation being endogenously determined by the term structure model. Using term structure data over the 1985 to 2000 sample period, the empirical evidence is consistent with our model more accurately predicting real consumption growth rates than a regression model based on the term spread.

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