Provider: ingentaconnect
Database: ingentaconnect
Content: application/x-research-info-systems
TY - ABST
AU - Beyaert, Arielle
AU - Perez-Castejon, Juan Jose
TI - Markov-switching models, rational expectations and the term structure of interest rates
JO - Applied Economics
PY - 2009-02-01T00:00:00///
VL - 41
IS - 3
SP - 399
EP - 412
N2 - 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 behaviours. 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.
UR - http://www.ingentaconnect.com/content/routledg/raef/2009/00000041/00000003/art00010
M3 - doi:10.1080/00036840601007195
UR - http://dx.doi.org/10.1080/00036840601007195
ER -