LeatherSagiKnowledgebase

Tag: regime-switching

77 items with this tag.

Apr 13, 2026
Active and passive monetary policy regimes coexist with rational expectations
Apr 13, 2026
Anticipated changes in monetary policy regime are a first-order driver of CRE cap rates and CRE-collateralized mortgage spreads
Apr 13, 2026
The asset-pricing no-bubble condition for regime-switching CRE models reduces to a finite spectral-radius test
Apr 13, 2026
Bond and dividend-strip prices in regime-switching affine models admit closed-form Riccati recursions conditional on a regime path
Apr 13, 2026
Adding commercial real estate prices to a joint estimation sharpens monetary policy regime identification
Apr 13, 2026
The inflation risk premium drives the slope of the nominal yield curve
Apr 13, 2026
Inflation target switching is irrelevant for MSRE determinacy
Apr 13, 2026
The long-run Taylor principle is sufficient for MSRE determinacy only when solutions do not depend on the previous regime
Apr 13, 2026
The real-rate term structure is approximately flat
Apr 13, 2026
The regime-shift risk premium is an economically large component of the term premium in long-maturity US Treasury bonds
Apr 13, 2026
A 2-state Markov regime-switching CIR term-structure model jointly captures conditional volatility, conditional correlation, and Campbell-Shiller expectations-hypothesis violations on US Treasury yields
Apr 13, 2026
State-dependent Markov transition probabilities significantly improve fit of US Treasury yield dynamics over constant-transition regime-switching DTSMs
Apr 13, 2026
Latent Markov regimes estimated from US Treasury yields align with NBER business-cycle phases
Apr 13, 2026
Yield curve information sharpens identification of monetary policy regimes
Apr 13, 2026
Beliefs counterfactual simulation
Apr 13, 2026
Coupled Riccati Recursions for Regime-Switching Asset Pricing
Apr 13, 2026
Forward-looking Taylor rule with regime switching
Apr 13, 2026
Identification under regime switching
Apr 13, 2026
Long-Run Taylor Principle
Apr 13, 2026
Markov Regime Switching in Asset Prices
Apr 13, 2026
Monetary Policy Regime Switching
Apr 13, 2026
RBPF particle-count diagnostics (cheap N* predictors)
Apr 13, 2026
Regime-Shift Risk Premium
Apr 13, 2026
Regime-Switching Affine Term Structure Model
Apr 13, 2026
Regime-switching affine term structure model
Apr 13, 2026
Regime-switching no-arbitrage term structure
Apr 13, 2026
Spectral Radius Test for Markov Pricing Operator (Asset-Pricing No-Bubble Condition)
Apr 13, 2026
State-Dependent Regime Transition Probabilities
Apr 13, 2026
Switching Kalman Filter
Apr 13, 2026
Bansal et al. Log-Linear Approximation: Jensen Gap Validation
Apr 13, 2026
Basin Finder 01: GBT-Guided Feasible Archive Generation
Apr 13, 2026
Basin Finder 02: F1 Cheap-Screen Design (3D Hamilton-Kim + BC Riccati)
Apr 13, 2026
Basin Finder 03: F2 Medium Refiner Design (6D Hamilton + MC cap rates)
Apr 13, 2026
Basin Finder 04: Promotion Policy (P0 Unbeatable)
Apr 13, 2026
Basin Finder 05: Global Driver — Adaptive vs Static Search (Null Result)
Apr 13, 2026
Basin Finder: Complete Five-Experiment Program Summary
Apr 13, 2026
Constrained Estimation Branch: m_g Pin + MC Lookup + BOBYQA in 54-D
Apr 13, 2026
Exp 06 v2: Last-Mile Probe on Simulated DGP (Corrected)
Apr 13, 2026
Exp 06 v1 vs v2: Data Correction Comparison Memo
Apr 13, 2026
Exp 10a: Restart Allocation Baseline + High-R Tie-Break (Incumbent Promotion)
Apr 13, 2026
Exp 09: Adaptive Tail Splice for MC Cap-Rate Pricing
Apr 13, 2026
Exp 10: Hybrid Tail Cache -- Strict Theta-Only Operator Cache
Apr 13, 2026
Exp 11: Block-Relative Curvature at Incumbent (Diagnostic Only)
Apr 13, 2026
Exp 12: Online Asymptotic Onset Detection (O1 Splice Detector)
Apr 13, 2026
MC Finite-Horizon Pricing Program: Simulation-Based Cap-Rate Pricing for Estimation
Apr 13, 2026
Pricing Approximation Program: Operator Compression for Regime-Switching CRE Pricing
Apr 13, 2026
Robustness Experiments: 12-Piece Infrastructure Summary
Apr 13, 2026
Simulated-Data Recovery: Local PASS / Global FAIL
Apr 13, 2026
TSM MLE: Hamilton-Kim Filter vs RBPF vs IS Ground Truth on 3D Macro-Only
Apr 13, 2026
TSM MLE v2: Global Latin Hypercube Search + NelderMead Polish
Apr 13, 2026
BC-style identification simulation study: CRE cap rates as observation-menu identification device
Apr 13, 2026
Cross-asset regime-consistent pricing: CRE + Treasuries under a single regime-switching SDF
Apr 13, 2026
Differentiable RBPF for gradient-based structural estimation of regime-switching macro-finance models
Apr 13, 2026
Generalize the Dai–Singleton–Yang regime-switching ATSM to exponential-quadratic asset pricing factors
Apr 13, 2026
Formal global optimization pipeline for Markov-switching CRE asset pricing MLE
Apr 13, 2026
Out-of-sample CRE cap rate forecasting at 1Y+ horizons under regime switching
Apr 13, 2026
The Term Structure of Real Rates and Expected Inflation
Apr 13, 2026
Term Structure of Interest Rates with Regime Shifts
Apr 13, 2026
Monetary Policy Regimes and the Term Structure of Interest Rates
Apr 13, 2026
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
Apr 13, 2026
Global Optimization Pipeline — Design Brief
Apr 13, 2026
A 54-Dimensional Constrained Stochastic Optimization Benchmark from Regime-Switching Asset Pricing
Apr 13, 2026
Monetary Policy Regime Switches and Macroeconomic Dynamics
Apr 13, 2026
Regime Switches, Agents' Beliefs, and Post-World War II U.S. Macroeconomic Dynamics
Apr 13, 2026
Riccati Equations for the Leather-Sagi Model
Apr 13, 2026
andrew-ang
Apr 13, 2026
daniel-waggoner
Apr 13, 2026
david-leather
Apr 13, 2026
francesco-bianchi
Apr 13, 2026
geert-bekaert
Apr 13, 2026
hao-zhou
Apr 13, 2026
jacob-sagi
Apr 13, 2026
min-wei
Apr 13, 2026
ruslan-bikbov
Apr 13, 2026
tao-zha
Apr 13, 2026
Commercial Real Estate Pricing with Regime-Switching Macro Dynamics
Apr 13, 2026
Markov-Switching Term Structure Models

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