Anzeige
Erschienen in:
2016 | OriginalPaper | Buchkapitel
Results from Markov Switching Models
verfasst von : Viola Fabbrini, Massimo Guidolin, Manuela Pedio
Erschienen in: Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
Verlag: Palgrave Macmillan UK
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
In a symmetrical approach to what we do in Chapter 4, in this chapter, we estimate two MSVAR models, one for the yields and one for the spreads. First, we present our specification search, which in this case concerns not only the appropriate number of lags, but also the most adequate type of Markov switching model and the appropriate number of regimes. We identify the MSIH(3,1) model as the most adequate to fit the data. Furthermore, we try to provide an economic interpretation of the three regimes that we identify. Finally, we discuss the results of the estimation of these models and their economic interpretation.