Analysing Yield Spread and Output Dynamics in an Endogenous Markov Switching Regression Framework |
| |
Authors: | Ramaprasad Bhar Shigeyuki Hamori |
| |
Affiliation: | (1) School of Banking and Finance, The University of New South Wales, Sydney, 2052, Australia;(2) Faculty of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan |
| |
Abstract: | In this article we analyse the relationship between yield spread and the economic activity by allowing the parameters of the regression to be driven by an endogenous Markov chain. Using the endogenous model, we could obtain accurate parameter estimates and the specification of our model is empirically supported. Our empirical results may indicate that people with low risk tolerance more likely to prefer a low volatility state over a high volatility one, while people with high risk tolerance are more likely to prefer a high volatility state over a low volatility one. |
| |
Keywords: | Yield spread Economic growth Endogenous Markov switching regression |
本文献已被 SpringerLink 等数据库收录! |
|