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This study examines a cointegrated vector autoregressive (VAR) model where parameters are subject to switch across the regimes in the term structure of interest rates. To employ the regime switching framework, the Markov-switching vector error correction model (MS-VECM) is allowed to the regime shifts in the vector of intercept terms, the variance-covariance terms, the error correction terms, and the autoregressive coefficient parts. The corresponding approaches are illustrated using the term structure of interest rates in the US Treasury bonds over the period of 1958 to 2009. Throughout the modeling procedure, we find that the MS-VECM can form a statistically adequate representation of the term structure of interest rate in the US Treasury bonds.
Moreover, the regime switching effects are analyzed in connection with the historical government monetary policy and with the recent global financial crisis. Finally, the results from the comparisons both in information criteria and in forecasting exercises with and without the regime switching lead us to conclude that the models in the presence of regime dependence are superior to the linear VECM model.
Moreover, the regime switching effects are analyzed in connection with the historical government monetary policy and with the recent global financial crisis. Finally, the results from the comparisons both in information criteria and in forecasting exercises with and without the regime switching lead us to conclude that the models in the presence of regime dependence are superior to the linear VECM model.
목차
1. 서론
2. 문헌 연구
3. 이론적 배경
4. 실증 연구
5. 결론
참고문헌
참고문헌 (15)
참고문헌 신청
1. [학술지(정기간행물)] - Ang, A. / 2002 / Regime Switches in Interest Rates / Journal of Business and Economic Statistics 20 (2) : 385 ~ 426
2. [학술지(정기간행물)] - Campbell, J. Y. / 1986 / The Term Structure of Euromarket Interest Rates : An Empirical Investigation / Journal of Monetary Economics 19 (1) : 25 ~ 44
3. [학술지(정기간행물)] - Campbell, J. Y. / 1987 / Cointegration and Tests of Present Value Models / Journal of Political Economy 95 (5) : 1062 ~ 1088
4. [학술지(정기간행물)] - Campbell, J. Y. / 1991 / Yield Spread and Interest Rate Movements : A Bird’s Eye View / The Review of Economic Studies 58 (3) : 495 ~ 514
5. [학술지(정기간행물)] - Clarida, R. H. / 1998 / Monetary Policy Rules in Practice : Some Enternational Evidence / European Economic Review 42 (6) : 1033 ~ 1067
2. [학술지(정기간행물)] - Campbell, J. Y. / 1986 / The Term Structure of Euromarket Interest Rates : An Empirical Investigation / Journal of Monetary Economics 19 (1) : 25 ~ 44
3. [학술지(정기간행물)] - Campbell, J. Y. / 1987 / Cointegration and Tests of Present Value Models / Journal of Political Economy 95 (5) : 1062 ~ 1088
4. [학술지(정기간행물)] - Campbell, J. Y. / 1991 / Yield Spread and Interest Rate Movements : A Bird’s Eye View / The Review of Economic Studies 58 (3) : 495 ~ 514
5. [학술지(정기간행물)] - Clarida, R. H. / 1998 / Monetary Policy Rules in Practice : Some Enternational Evidence / European Economic Review 42 (6) : 1033 ~ 1067
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UCI(KEPA) : I410-ECN-0101-2013-530-003637061