Regime-switching risk and systemic crisis frameworks
Key Questions
How do regime-switching models improve yield curve forecasts?
They incorporate systematic risks of policy shifts into term structure models, better capturing non-linear dynamics near the lower bound and during monetary transitions.
What updates were made to the Systemic Banking Crises Database?
Yale Program extended the database to 2025, adding a new crisis-fighting playbook focused on quantitative debt-cycle monitoring and post-GFC lessons.
What is covered interest parity deviation and why does it matter post-GFC?
A three-variable benchmark tracks post-GFC CIP deviations in government bonds, highlighting persistent arbitrage frictions and liquidity regime changes.
How do academic findings link regime shifts to monetary policy?
Research shows monetary policy regimes drive yield curve movements through smooth threshold shifts, affecting expectations and risk premia across maturities.
Why is quantitative debt-cycle monitoring important now?
It provides tools to detect early signs of systemic stress by combining regime-switching analysis with updated crisis data for proactive policy assessment.
Academic research on regime-switching in term structure models ties to monetary policy shifts and liquidity regimes. Yale Program updates Systemic Banking Crises Database to 2025 with new crisis-fighting playbook for quantitative debt-cycle monitoring.