Interest Rate Volatility Regimes in Selected Asian Countries:A Univariate Markov Switching Analysis

作     者：Dicle Ozdemir Dicle Ozdemir

作者机构：Faculty of Economics and Administrative SciencesMugla Sitki Kocman UniversityKotekli KampusuMugla48000Turkey 

出 版 物：《Frontiers of Economics in China-Selected Publications from Chinese Universities》 (中国高等学校学术文摘·经济学（英文版）)

年 卷 期：2020年第15卷第1期

页      面：56-69页

学科分类：1202[管理学-工商管理] 0201[经济学-理论经济学] 07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：regime switching Markov regime nominal interest rate Asian countries emerging economies business cycle volatility switching autoregressive model 

摘      要：Business cycle dynamics are determined by relatively large volatilities in output,consumption,and investment,which leads to cyclical fluctuations in interest *** the Markov switching model,we model the nominal interest rate movements to explain the volatility regime shifts in a set of selected emerging Asian *** estimated results provide significant evidence of regime-dependent means,variances,and probabilities in both stable and volatile regimes in selected countries,confirming the existence of two distinct regimes in nominal interest rate *** addition,the smoothed probability results of switching autoregressive model show that the model is capable of capturing the two regimes for the corresponding nominal interest rate ***,the results reveal that the stables regimes have higher durations than the volatile *** study also shows the advantage of Markov switching models over conventional regression models,allowing the identification of different regimes for the cyclical behavior of interest rates.