Change-Points in Affine Arbitrage-Free Term Structure Models
- Authors
- Chib, Siddhartha; Kang, Kyu Ho
- Issue Date
- 2013
- Publisher
- OXFORD UNIV PRESS
- Keywords
- G12; C11; E43; Bayesian inference; change-points; macro-finance; marginal likelihood; Markov chain Monte Carlo; regime changes; state-space model; stochastic discount factor; term premium; yield curve
- Citation
- JOURNAL OF FINANCIAL ECONOMETRICS, v.11, no.2, pp.302 - 334
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF FINANCIAL ECONOMETRICS
- Volume
- 11
- Number
- 2
- Start Page
- 302
- End Page
- 334
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/106618
- DOI
- 10.1093/jjfinec/nbs004
- ISSN
- 1479-8409
- Abstract
- In this paper, we investigate the timing of structural changes in yield curve dynamics in the context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure model. We suppose that all parameters in the model are subject to changes at unknown time points. We fit a number of models to the U.S. term structure data and find support for three change-points. We also find that the term structure and the risk premium are materially different across regimes and that the out-of-sample forecasts of the term structure improve from incorporating regime changes.
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Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
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