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Publication Date:
March 2009
ISSN:
1558-3708
DOI:
10.2202/1558-3708.1490

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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

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The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing

John Driffill1 / Turalay Kenc2 / Martin Sola3 / Fabio Spagnolo4

1Birkbeck College, University of London, j.driffill@bbk.ac.uk

2Bradford University School of Management, t.kenc@bradford.ac.uk

3University of London and Universidad Torcuato Di Tella, msola@econ.bbk.ac.uk

4Brunei University, fabio.spagnolo@brunel.ac.uk

Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 13, Issue 1, Pages –, ISSN (Online) 1558-3708, DOI: 10.2202/1558-3708.1490, March 2009

Publication History:
Published Online:
2009-03-06

We examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are allowed to be switched is crucial. Ignoring this issue may result in a parameterization that produces no improvement (in terms of bond pricing) relative to the standard CIR model, even when there are clear breaks in the data.

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