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Abstract "We examine the econometric performance of regime switching models for interest rate data from the US, Germany and the UK. Regime switching models forecast better out-of-sample than single regime models, including an affine multi-factor model, but do not always match moments very well. Regime switching models incorporating international short rate and term spread information forecast better, match sample moments better, and classify regimes better than univariate regime switching models. Finally, the regimes in interest rates correspond reasonably well with business cycles, at least in the US."

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