EconPapers    
Economics at your fingertips  
 

Regime Switching and Bond Pricing

Christian Gourieroux, Alain Monfort (), Fulvio Pegoraro () and Jean-Paul Renne

Working papers from Banque de France

Abstract: This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic drifts and/or volatilities, to represent discrete target rates, to incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of standard or nonstandard monetary policies. From a technical point of view, we stress the key role of Markov chains, Compound Autoregressive (Car) processes, Regime Switching Car processes and multihorizon Laplace transforms.

Keywords: term structure; regime switching; affine models; car process; multi-horizon Laplace transform; contagion; default risk; monetary policy. (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2013
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_456_2013.pdf (application/pdf)

Related works:
Journal Article: Regime Switching and Bond Pricing (2014) Downloads
Working Paper: Regime Switching and Bond Pricing (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:456

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().

 
Page updated 2020-07-08
Handle: RePEc:bfr:banfra:456