TY  - UNPD
A1  - Ahrens, Ralf
T1  - Improving market-based forecasts of short-term interest rates: time-varying stationarity and the predictive content of switching regime-expectations
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 1999,14
N2  - Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity. After discussing both aspects with reference to the recent literature, this paper provides estimations of various univariate regime-switching specifications for the German three-month money market rate and bivariate specifications additionally including the term spread. However, the main contribution is a multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for state-dependence. Particularly, the informational content of the term spread for future short rate changes can be exploited optimally within a multivariate regime-switching framework.
T3  - CFS working paper series - 1999, 14 
KW  - interest rates
KW  - term structure
KW  - peso problem
KW  - regime-switching
KW  - forecasting
KW  - Nichtlineare Zeitreihenanalyse
KW  - Zinsfuß
KW  - Prognose
Y1  - 1999
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4528
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9631
ER  -