Modelling regime shift behaviour in Asian real interest rates |
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Authors: | Terence C. Mills Ping Wang |
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Affiliation: | aLoughborough University, U.K.;bMiddlesex University, U.K. |
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Abstract: | In this paper we investigate whether real interest rates for a number of Asian economies are constant but subject to occasional jumps using the Markov switching technique. We find evidence that all six rates under consideration have generally been stable, only shifting in response to either international or country-specific shocks. |
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Keywords: | Asian real interest rates Regime shifts Markov switching models |
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