Journal article | Zeitschriftenartikel
Markov-switching models, rational expectations and the term structure of interest rates
In order to evaluate the efficiency of the monetary transmission mechanism, we develop the formulas for testing rational expectations theory in the term structure of interest rates with VAR models of stochastically switching regimes in which all the parameters are regime-dependent. These formulas are obtained for the strict version of rational expectations as well as for the case where measurement errors are assumed in the expectations relationship. They are extensible to other contexts that involve variables linked by rational-expectations behaviors. The testing procedure is implemented on interest rates of the Spanish inter-bank money market. Measurement errors must be assumed to find signs favourable to the theory.
- Umfang
-
Seite(n): 399-412
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Applied Economics, 41(3)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Wirtschaftspolitik
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beyaert, Arielle P.
Pérez-Castejón, Juan José
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigte Staaten von Amerika
- (wann)
-
2009
- DOI
- URN
-
urn:nbn:de:0168-ssoar-239836
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Beyaert, Arielle P.
- Pérez-Castejón, Juan José
Entstanden
- 2009
Ähnliche Objekte (12)
Understanding Markov-switching rational expectations models
Markov-switching models, rational expectations and the term structure of interest rates
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Markov-switching proxy BVARs
Markov-switching decision trees
On the Solution of Markov-switching Rational Expectations Models
Minimal state variable solutions to Markov-switching rational expectations models
Markov-Switching und ifo Geschäftsklima
Markov-switching generalized additive models
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Markov-switching three-pass regression filter
Understanding Markov-switching rational expectations models
Markov-switching models, rational expectations and the term structure of interest rates
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Markov-switching proxy BVARs
Markov-switching decision trees
On the Solution of Markov-switching Rational Expectations Models
Minimal state variable solutions to Markov-switching rational expectations models
Markov-Switching und ifo Geschäftsklima
Markov-switching generalized additive models
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH
Markov-switching three-pass regression filter
Understanding Markov-switching rational expectations models
Markov-switching models, rational expectations and the term structure of interest rates
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Markov-switching proxy BVARs
Markov-switching decision trees
On the Solution of Markov-switching Rational Expectations Models
Minimal state variable solutions to Markov-switching rational expectations models
Markov-Switching und ifo Geschäftsklima
Markov-switching generalized additive models
Long memory with Markov-Switching GARCH
Long memory with Markov-Switching GARCH