Business cycle dynamics are determined by relatively large volatilities in output, consumption, and investment, which leads to cyclical fluctuations in interest rates. Using the Markov switching model, we model the nominal interest rate movements to explain the volatility regime shifts in a set of selected emerging Asian economies. The estimated results provide significant evidence of regime-dependent means, variances, and probabilities in both stable and volatile regimes in selected countries, confirming the existence of two distinct regimes in nominal interest rate movements. In addition, the smoothed probability results of switching autoregressive model show that the model is capable of capturing the two regimes for the corresponding nominal interest rate behaviors. Besides, the results reveal that the stables regimes have higher durations than the volatile regimes. This study also shows the advantage of Markov switching models over conventional regression models, allowing the identification of different regimes for the cyclical behavior of interest rates.